A few of the earlier replies seem to have confused the concept of the male gaze with how they, as individual men, physically look at women. For those unsure, Ruthie posted a link to the definition earlier.
It's easiest to see in film depictions of sex. As Rogerzilla has mentioned Keira Knightley has said she won't continue to do sex scenes, directed by men. The male gaze makes the woman simply an object. How often do you see sex scenes where the woman is is shown naked or near naked, with clear shots of breasts, or full frontal nudity, when the man might show half a buttock? It doesn't matter what position they are having sex, the camera always manages to show the woman, but not the man. That's half the male gaze. The second half, in the context of the sex scene, is what is happening in the sex, and why it needs to be portrayed. The male gaze promotes erotica over intimacy.
That's just in film, but the male gaze spills into all parts of life. It's how we end up with the perception of 'legitimate rape victims' - you know, too ugly/not dressed sexy enough and you couldn't have been raped, but too pretty/dressed too provocatively then you are probably a whore who wanted it. It's why some men will only accept "I have a boyfriend/husband" rather than "No thanks, I'm not into you" as a rejection. And it's totally pervasive into all aspects of life, even those where there is no sexual element at all.