Gateway of last resort

The Gateway of last resort, what is it ? do ever hear that. Complete statement is 'Gateway of last resort is not set' still never seen before ?

Here it is complete capture about that

Codes: C - connected, S - static, R - RIP, M - mobile, B - BGP
       D - EIGRP, EX - EIGRP external, O - OSPF, IA - OSPF inter area 
       N1 - OSPF NSSA external type 1, N2 - OSPF NSSA external type 2
       E1 - OSPF external type 1, E2 - OSPF external type 2, E - EGP
       i - IS-IS, su - IS-IS summary, L1 - IS-IS level-1, L2 - IS-IS level-2
       ia - IS-IS inter area, * - candidate default, U - per-user static route
       o - ODR, P - periodic downloaded static route

Gateway of last resort is not set

or

Gateway of last resort is x.x.x.x to network 0.0.0.0

The Gateway of last resort is next hop of default route, router mention of about information default route or 0.0.0.0 0.0.0.0 or 0.0.0.0/0 and next hop is x.x.x.x.