A soliloquy is a super important monologue given by a character in a play who is alone on the stage. Think Hamlet's "To Be or Not To Be" speech. Because they're alone when they deliver these speeches, a character might reveal some very key thoughts, feelings, and opinions to us audience members during a soliloquy.
So every time a character starts talking to himself on stage, you might want to perk up your ears. Or just go about your knitting. Dude's talkin' to himself.