Each wound suffered may be cancelled if the controlling player makes a saving throw. There are two types of saving throw: armor saves and ward saves. Armor saves suffer modifiers based on the Strength of the weapon, but ward saves are never modified.
Models that are wounded still have a chance to avoid a grisly death by 'saving' the wound. Hand your opponent all the dice that scored successful wounds – he then rolls these in an attempt to 'save' his models. If he rolls equal to or greater than the model's save, the wound has been deflected by its armor or some other form of protection.
Note that a save of any kind can never be better than 1+. This does not prevent a model having items or special rules that would take the save even lower, it simply caps the saving throw at 1+. Also, remember that a roll of 1 is always a failure.
There are two main kinds of save: armour saves and ward saves.