http://images.flatworldknowledge.com/averillfwk/averillfwk-f...
have a line that separates gas from liquid, but this line has a finite length. One endpoint is on the triple point (solid, liquid, gas coexist at one P,T) and the other is on the critical point. That's where the distinction between gas and liquid vanishes -- the viscosity, index of refraction, etc of one phase approach those of the other until differences vanish altogether at the critical point. It's a little arbitrary to say that steam at a given temperature or pressure is supercritical (there IS a rigorous definition, T>T_criticalpoint&&P>P_criticalpoint, I'm just saying that it's a bit arbitrary), but the gist of it is that you're in the part of the phase diagram where movement in the phase plane is going to avoid the gas/liquid transition. Nothing physical happens in a liquid->supercritical or supercritical->gas transition and there are no phase transitions in the supercritical region.
This is exploited for the production of aerogel. Normally you can't dry out a gel and have it retain its shape because the liquid/gas interface during evaporation/boiling has enough surface tension to tear apart the microstructure of the gel. But if you scoot around the liquid/gas transition in phase space (e.g. by heating past T_criticalpoint, lowering pressure below T_criticalpoint, cooling below T_criticalpoint, and finally releasing any lingering pressure, or in other words liquid->supercritical->gas) then you can get rid of the liquid without ever boiling/evaporating it -> no nasty surface tension to tear apart the microstructure!
Here is a video of CO2 being heated past the critical point. Since there is a gas-liquid equilibrium, the system will move more or less exactly along the curve separating gas from liquid until it "slips off the end" into the supercritical region:
https://www.youtube.com/watch?list=FLAv56CgHL4P8vk6FDm9s1Zw&...
EDIT: || -> && in the formal definition
EDIT2: linked a phase diagram for those who don't stare at them all day :)