The Orientation Islands, originally named "Prelude", did not always exist, having been added sometime in closed Beta. Jessie, now a combat sim, was originally a copy of Prelude that Linden Lab put on the grid so people could see what it was like.
They feature small stations that teach new users the basic operations of Second Life. Each "Orientation Station" teaches a different aspect, such as camera zooming, basic chatting, and appearance mode features, among other things. Each station also used to give money when a task is completed (though most of the residents never realised that). Although many notecards refer to this money, the practice was discontinued sometime before SL1.6 was released.
For most of SL history there were only four Orientation Islands, but they were recently expanded to nine, although only six of which are generally in use at any given time. All of them are visible only to Linden employees and hidden from normal residents on the mainland. Once a user leaves the Orientation Islands they can never return, so it is always suggested that new users complete all there is to do on the island before leaving.
This "forbidden fruit" was, in the early days, a tantalizing challenge for the more technically-minded residents--James Miller, in particular, became a living legend among Linden employees for coming up with interesting new ways of getting into them.
When a new user is ready to leave Orientation Island they are given a choice between the mainland and Help Island. If they choose the mainland, they receive a landmark which teleports them to the Welcome Area (split between Ahern and Waterhead). The Orientation Stations are also setup in Yamato located in Dore for anyone to go over the basics again.