They go in a slot on your motherboard. That one uses a PCIE interface so should be faster than normal SATA SSDs. You can get M.2 drives that use SATA interface but they won't have the same performance as the PCIE drives. Probably cheaper though.
It can get a bit confusing as there are many different types of m.2 drive. They vary on drive length (40mm, 60mm, 80mm), and interface (SATA or PCIE), and the PCIE interface can vary on the number of lanes it uses (PCIE x1, x2, x4). Drives with PCI-E x4 interface will be the quickest, though OcUK don't have any I don't think. Only drive I've seen that uses PCIE x4 so far is a Samsung one.
Also using PCIE m.2 drives can have an effect upon the SLI/Crossfire options you can use as the m.2 drive will take PCIE lanes from the graphics cards.