The Oxford comma is a kind of punctuation that appears at the end of sentences. It's a comma that comes after the second to last item in a list of three or more items, like this:
My favorite colors are, red, blue, and yellow.
The song Oxford Comma by Vampire Weekend is about how adding an Oxford comma can make a sentence clearer and easier to understand. In the song, they talk about how if they had used an Oxford comma, it would have made their argument stronger and more convincing. Basically, using an Oxford comma can make things more clear and easier to understand.