Slippage happens when your order is executed at a different price than the one shown when you clicked buy or sell. Positive slippage (a better fill) is rare; negative slippage (a worse fill) is common during news releases, low-liquidity hours, and gaps. A market order placed on NFP with a 0.1-pip quote can get filled 3–5 pips away.
Brokers handle slippage differently. Dealing-desk brokers may reject the order (requote) and ask you to accept the new price; STP and ECN brokers usually pass the fill through at whatever is available in the book. When comparing brokers, look for published execution reports showing the percentage of orders executed at requested price and at better or worse prices.