What exactly is a triggered effect or response?

I assume this is any ability on an event or character that isn't passive but I'm not exactly sure. Triggered implies the player has to take some sort of action for it to take effect. Is playing a card enough to be a "trigger" or does there need to be a cost associated with it?

Mostly I see many cancel cards that target triggered effects/responses and I see characters that are immune to them. I would like to know how this works.

Thanks.

Basically, triggered effects are effects that must be activated by the player. They start with a bold word (Plot:, Marshalling:, Any Phase:, Response:, etc)

They can have a cost, which is defined between the bold word (i.e. Any Phase:) and the word "to", or they can be kind of "free".