The bigWig format is for display of dense, continuous data that will be displayed as a graph. BigWig files are created initially from WIG type files, using the UCSC program wigToBigWig. Alternatively, bigWig files can be created from bedGraph files, using the UCSC program bedGraphToBigWig. In either case, the resulting bigWig files are in an indexed binary format. The main advantage of the bigWig files is that only the portions of the files needed to display a particular region are transferred, so for large data sets bigWig is considerably faster than regular WIG files.
See here for more information on the bigWig format.