This is one of several terms for wedding. It might the most popular term that is not coloquial. Other choices are:

عُرس 'urs: This too will be commonly understood accross the Arab world, but zafaaf might have a more joyous tint to it.

فرح farah: suggested by John, is the most common term used in Egypt, but may not be popular in other Arab countries. It literallu means joy or rejoicing.

حفل زواج hafl zawaj: literally "marriage celebration".

نكاح nikaah: a formal (Islamic) term for wedlock and can also refer to the wedding ceremony.

وليمة walimah: also an Islamic term for a wedding or child birth (عقيقة) celebration. It literally means banquet.

Here is a Hadith from "Sunan Ibn Majah" that contains a reference to both walimah and 'urs:

‏عن ‏ ‏نافع ‏ ‏عن ‏ ‏ابن عمر ‏أن رسول الله ‏ ‏صلى الله عليه وسلم ‏ ‏قال ‏ ‏إذا دعي أحدكم إلى ‏ ‏‏‏ وليمة ‏عرس فليجب

The meaning is "if one of you is invited to a marriage banquet, he should honor the invitation:

Regards,

Alaa Zeineldine

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Note added at 2002-02-12 22:55:57 (GMT)
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You can also say حفل زفاف Hafl zafaaf. It roughly means \"celebration of the good news\", where the good news is assumed to be wedding:)