A track day is pretty much what it sounds like. An individual or organization rents a track, and you pay them a fee to get on that track for the day.
Two of the largest organizations that do this are Sportbike Track Time (www.sportbiketracktime.com) and NESBA (www.nesba.com).
You don't really need to live near a track to do this, either. I live in Atlanta, where I'm fortunate to be close to several tracks, but I've traveled as far as Chicago to do track days at different tracks. I can't think of too many places in the US where you can't be at a track within a day's drive.
I'm not saying they're the be-all and end-all to practice, but there are some skills that really benefit from practice on a racetrack, braking being one of these. Also, for the sport rider, it's a great way to get out some of that "need for speed" in a controlled environment without actually having to go and race.