If you put on a stereo recording in which two similar but not-quite-identical frequencies are played so that one frequency plays in one ear and the other frequency plays in the other, your brain will try to sync them up so they match perfectly. In doing so, it will create a third beat on its own, a sound you'll actually be able to hear even though it's not on the recording.
This much is fact. Binaural beats really do exist. The question is whether they do what some people claim they do, such as encouraging lucid dreaming, opening the “third eye,” or inducing meditative states. So far, the evidence on this question is purely anecdotal. Some people swear by them, but there haven't been any studies to actually prove that they work this way.