Executive function of the brain:
The set of abilities that allows you to select behavior that's appropriate to the situation, inhibit inappropriate behavior and focus on the job at hand in spite of distractions. Executive function includes basic functions like processing speed, response speed and working memory, the type used to remember a house number while walking from the car to a party.
Interestingly, physical and not mental exercise is the best way to improve your brain's executive function. (via joel)
Update: A list of articles demonstrating the efficacy of cognitive training. (thx, henry)