Haxe is a programming language, its compiler can then compile said code into a variety of other languages. The reason you'd use it rather than one of the languages it can be compiled and turned into is primarily portability. A lot of portable devices don't support flash for example.
EDIT: I am apparently slow, or I just really wanted to be redundant today. But yeah, knyte and I largely said the same thing.
The post before that was just me being a smartass in reference to knyte's python vs. c comparison.
Edited 8/5/2016 09:07:58