Eä was the word spoken by Eru Ilúvatar, in which he brought the universe into actuality. This act of creation recalls the biblical creation narrative, in which God began creating the world with the verbal command, "Let there be light." as well as the first line of the Gospel of John, "In the beginning was the Word, and the Word was with God, and the Word was God." Another parallel is the Hindu "Aum|Om". It's also something close to 'ayah.'
The Ainur, angelic beings from the Timeless Halls beyond Eä, refer to it as "the Little Kingdom". This refers to the fact that within the mind of Eru Ilúvatar (God, in Tolkien's legendarium), all creation that mortals can see is really just a tiny thing in comparison.
The word comes from the Quenya word for to be. Thus, Eä is the World that Is, as distinguished from the World that Is Not.