WoO stands for without opus. It refers to works of a particular composer that were for one reason or another, left out of his/her composition catalogue. It is most famously applied to many of Beethoven's works, such as his Concerto No. "0" in D-flat major for Piano and Orchestra, WoO 4, composed in 1784. The numbering of "0" is made sense by the fact that Beethoven composed this concerto before he composed his piano concerto numbered "1."
Why would a work be left out of a composer's catalogue of works? Well, there are any number of factors, but most importantly, a composer's works are often compiled into a cataloque after the composer's death, and the work in particular may not have been discovered or known to exist until after his/her death. Rather than using WoO, a cataloguer may simply refer to a piece as Opus Posth. (or Posthumous).