(I'm writing this article as part of the Introduction to Music Production course on Coursera.)
Comb filtering is an interesting phenomenon. When you play audio back with itself at a very slight delay, it causes interference patterns. Most often, this occurs when a reflective surface is near your microphone.
In my studio, I took a speaker and played white noise from my computer through it. Then, I placed a microphone near the speaker, and sent that audio back into the computer. I used the channel EQ plugin to look at the frequency response of the audio after it went back into the microphone.
Then, I took a reflective surface (a dry erase board, in my case) and gradually brought it closer and closer to the microphone and speaker. As the board gets closer, it takes an increasingly shorter time for the sound to bounce off the surface and get to the microphone. As the delay gets shorter, we can start to hear the filter effect more and more.
If you watch the frequency response displayed on the screen, you'll see notches and peaks begin to appear at regular intervals. This is where comb filtering gets its name, because the frequency response looks something like a comb!