Air handling unit, often abbreviated AHU is a device that provides air treatment combined with air movement for an HVAC system. Air movement is generated via fan power contained in the AHU. The AHU usually feeds the ductwork on a building. They are often "packaged" to contain heating coils, cooling coils, compressors, and a heat source as well (which would be a self contained unit). They may also contain an airside energy recovery device. They are often found on rooftops of buildings and also in mechanical rooms.
Example:
In hydronic systems, the air handling unit provides air control across the cooling and heating coils (which are cooled and heated by a remote chiller and boiler respectively)