Yep. Here's a simple explanation:

Wind powers sailboats right? So the boat uses wind to get going. Then, once it's moving, there is boat wind, like the wind you feel out your car window while driving. This boat wind is still wind as far as the boat is concerned so it adds to the apparent wind that the boat experiences and because of it, the boat speeds up more. Because of that, the boat wind increases again and increases apparent wind even more. This keeps going until an equilibrium is reached.

Here's the kicker though. For our purposes, let's say that a boat will sail upwind at an angle of 30° off the wind. As it starts moving, the apparent wind will change direction (and move towards the front of the boat). Simple vector addition shows this. Because the boat still can only sail at 30° off the wind, it needs to turn away from the wind, or bear off, in order to maintain laminar flow over the sails. This means that a boat sailing at full speed will be sailing more than 30° off the true wind, but 30° off their apparent wind.

When sailing upwind, this effect is something you need to "fight with" and decide if you want to go fast at low angles (think lots of zig zags to get to the top mark) or slower at (less zig zags to the top mark). This is what is called your VMG, or velocity made good, and is a challenging part of sailing when you're in fast boats.

When sailing downwind, the effect is helpful and means you can aim nearer to the bottom mark, but requires skill to achieve a higher apparent wind. If you look at the path the boats take downwind, it will look like a slow arc that curves towards the bottom mark because they need to if first built apparent wind by going fast at a shallow angle (close to perpendicular with the wind), then as their apparent wind increases and moves forwards, they can bear off towards the mark without sacrificing much speed.

Again, this is a huge part of sailing, but is especially crucial at speeds over 10 knots and in light, high performance sailboats.

EDIT: The other responses are sorta right, but there's a lot more to it than "the boat sails perpendicular to the wind and goes scary fast"