The card says: For 1 strain: Use when you declare an attack targeting a figure that does not have line of sight to you. This attack gains 2 strain.

What does this mean? This character can shoot through obstacles or through (around) walls? because it says out of line of sight. How does Ambush work?

This ability comes from Mak Eshka'rey

Mak has to have line of sight to declare an attack, but to use Ambush the target figure cannot have line of sight to him.

This can happen a few ways, but the easiest is by using Mak’s Covert ability.

If Mak has line of sight wouldn't it be a given that the target has line of site as well? I'm a bit confused.

Non-reciprocal line of sight is possible. If attacking between a wall/door/blocking terrain or figure and another figure you would have line of sight to the target without the target having line of sight to you. See (17) from the line of sight examples from the RRG.

If Mak is at least 4 spaces away from his target, Covert means that the target doesn't have line of sight to Mak while Mak still has line of sight to the target.