Crazy Eddie's GUI System (or short CEGUI) is a cross platform free library providing windowing and widgets. Or simply said: You can create GUI's with it. Since the main purpose of CEGUI is to create game user interfaces, Ogre started to depend on this third-party library for interactive user interface as of version 1.0. CEGUI is very flexible because it uses XML files to describe the look of the interfaces. So you are free to use whatever design you like, you just need to write your XML-files for it.
Important informations are in the CEGUI wiki. There you also can download the SDK and a layout editor.
There is no specific documentation on using CEGUI within Ogre, so you can take a look at The CEGUI API reference to learn about CEGUI itself. If you need some guidance at integrating the GUI in your game, look at the Basic Tutorial 7 to get known to it. A good introduction to CEGUI and its XML-files can be found at Beginners Guide
There is also sample code in the ogrenew/Samples/Gui directory, and scripts/media in the ogrenew/Samples/Media/gui folder. Examples on using CEGUI are shipped with CEGUI itselft and can be found in cegui_mk2/Samples/datafiles/.
Many of you hit this page when searching for documentation of Ogre and CEGUI working together. Take a look at:
Basic Tutorial 7
Otherwise you can take a look at a much more complex (and sadly less documented) introduction at:
Practical Application - GUI
How to build the latest CEGUI version for your Ogre Project