"Who's on First" is a comedy sketch made famous by Abbott and Costello. It is a throwback to the comic routines of vaudeville and burlesque, where every sentence is a double entendre. In the case of the Who's On First skit, the names of the players are also common words. In the skit, Abbott is telling Costello that the name of the first baseman is "Who" and Costello is interpreting it as a question "Who's on First"? Costello finally gives up on trying to get the names of the players and sighs something such as "I don't care" to which Abbott replies "Oh that's the short stop".
The skit first gained popularity in the 1930's, but it is still commonly played during baseball season.