A literature review can take on multiple forms.

• a standalone literature review is one in which your goal is to find, analyze, summarize and draw connections between what has been written about your subject. This is often a publication by itself, or a class assignment. 
• a literature review section, such as in a theses or paper, helps to ground your work in the history of the subject and shows were it lies in relation to the work that others have done.

A literature review is not:

• an annotated bibliography - it should draw connections between what you are finding, not just providing citations and annotations. 
• exhaustive - there is often no way to create an exhaustive literature review because there can be so much written about a topic. You're goal is to find the most important.