The Common Data Service (CDS) is a Software as a Service offering by Microsoft aimed at providing data storage and modeling capabilities. As a SaaS offering in the Microsoft business application range (Power BI, PowerApps, Microsoft Flow), CDS aims to make provisioning simple and scalable as well as easy to integrate without losing IT pros ability to govern, secure and maintain the underlying data store, connectors or gateways.
A great way to get your head around how CDS fits into the Azure offering is the Azure Friday video PowerApps and the Common Data Service. The general available announcement is an easy read providing insight into the goals of CDS and its capabilities. Additional information can be found in Microsoft Docs.