Mt Gox JSON Depth Data
Market depth is a snapshot of the currently open bid(buy offers) and ask(sell offers).
A definition from Investopedia: Depth of Market
Each time a new order enters Mt Gox's order book the real-time depth API broadcasts this to the end user. If you listen long enough to the Mt Gox's depth API you would be able to gain an almost accurate copy of Mt Gox's order book.
Interpreting the Data
volume: this is the amount of
item (BTC) that the depth at that
currency (USD) has changed by. This has been deprecated in favour of
volume_int. Basically it is the same thing except the
volume_int must be divided by 1E8.
price: the price point in
currency to which this depth record relates.
volume_int are change records
total_volume records how much is available at that price point. A zero value means that no more orders are at this price point. For most purposes
total_volume_int is the number you want to use.
How depth data relates to the charts
I'm assuming that the question refers to the live charts. That chart is built by forming points between price and the accumulated depth working outwards from the market price. Then those points get connected. For example:
For bid orders of 10 @ $90, 10 @ $80 and 10 @ $70 the graph would show depth accumulation of: 30 @ $70, 20 @ $80 and 10 @ $90.
Using the data
Depth information is useful to determine just how much "liquidity" there is in the market. This indicates how much a "large" transaction will move the market price.
A steep accumulated depth line indicates potential "support" on the bid side and "resistance" on the ask side. A steep chasm formed by both sides of the accumulated bid/ask depth indicates price stability while a spread out flat bowl indicates price sensitivity.
(bid, ask, liquidity, support, resistance are stock trading terms -> look them up on investopedia, it's a good resource)