Privilege is a concept used in anti-racist, anti-sexist, and similar anti-oppression movements.
Privilege is described as a set of perceived advantages enjoyed by a majority group, who are usually unaware of the privilege they possess.
A privileged person is not necessarily prejudiced (sexist, racist, etc) as an individual, but may be part of a broader pattern of *-ism even though unaware of it.
One tool for understanding privilege is the Privilege checklist.
Common phrases used to help remind people of their privilege are "check your privilege" or "your privilege is showing," however these should only be used with a genial tone, and once the person is aware of the concept of privilege. For unaware people, a more general phrase is preferred, like "your perspective as a _______ might mean that you're unaware that other groups struggle with issues like _______." Saying what you mean in "plain English" is usually the best policy in communicating.
Many people, when asked to check their privilege, respond with "So? Am I meant to feel guilty? I didn't choose to be white/male/whatever