The proletariat is the working class under capitalism. While unlike slaves and serfs proletarians aren't bound to any particular master, they also do not have any significant property of their own, and can only subsist by selling their ability to labour as a commodity on the market. The resulting relation of production is called wage labour.
The pre-capitalist proletariat
Although the proletariat only became the dominant working class around the time of the industrial revolution, free legal citizens without any significant property of their own have existed in various societies throughout history. In fact, the term "proletariat" isn't a modern invention, and goes back to the Roman Republic, where the proletarii were the poorest among the plebeians. Because of their lack of wealth they were ineligible for military service, and only notable in census records for producing children. This offspring was significant because they could later become free citizens of newly conquered territory. The Latin word for "offspring" is prōlēs, and hence the people who did nothing much but produce them were called proletarii, meaning "those who produce offspring."
After the Marian military reforms of 107 BC, proletarians were allowed to serve as disposable skirmishers in the Roman army. This turned the Roman military from a militia composed of wealthy citizens with a stake in the Roman state, to a professional army loyal mainly to their military commanders, who were their main source of income. In this way, the rise of the Roman proletariat opened the way for the achievements of Julius Caesar and the Roman Empire.
The proletariat under capitalism
Because of the agrarian nature of feudalism, and the small-scale, petit bourgeois nature of most production at the time, the proletariat hardly existed as a class in feudal times. They developed during the land enclosures, which forced the smallest of peasants off of their land and forced them to find work in the cities; at the same time, technological advancement allowed industrial production to develop, which destroyed the livelihoods of small craftspeople. The new industrial bourgeoisie made use of dispossessed former peasants and former craftspeople to labor in their factories.
As production in countries becomes more and more industrialized and advanced, the various petit bourgeois classes are absorbed, mostly into the proletariat (although some lucky few will climb to the ranks of the bourgeoisie). The end result is that the central contradiction of capitalism, that between the bourgeoisie and the proletariat, grows deeper and more significant.