It's another Amazon Prime perk. I knew about the Kindle Owner's Lending Library, but I happened to be looking into what I'd need to do to share my Prime shipping with a family member and saw it listed under my benefits.
Kindle First allows Amazon Prime users to free early access to upcoming Kindle releases. You can purchase one of four books each month for free and read them before their release date.
It's apparently been around since 2013, too. *shakes head*