Mahdi means 'guided one'. Often refered to as Imam Mahdi, or Al-Mahdi, it is the nickname name of a very important person in Islam who will have the real name: Muhammed. He is yet to be born according to the majority of Sunni Muslims, but is alive at this very moment according to the majority of Shia Muslims, but his identity is not know (i.e. He is in occulation).
It is said he will accompany Prophet Jesus (AS) when he returns and will rid the world of evil, eventually bringing peace & harmony after the great wars.
Mahdi is also a popular boy's name.