Multi-Factor Authentication (MFA) adds a security layer when connecting to an application. This helps confirming that it is really you trying to access an application, and not someone impersonating you. The Second Factor (2FA for 2 Factor Authentication) means you need to perform two steps to log in: first your password and then an additional verification method.
Several options are available in EU Login depending on your account type (whether you work for an EU Institution or not) and the application you are trying to reach.
Please see the question What second factor can I configure with my account? for more information about the available options.