Association is a status awareded to non-EU countries which have agreed, negotiated and paid to participate in EU programmes, this is possible e.g. for Horizon 2020, Erasmus+ or EUREKA. In the context of proposal consortia, organisations from these countries are treated on the same footing as those in the EU. Associated countries to the Framework Programme are listed on the EC website and constantly updated: http://ec.europa.eu/research/participants/data/ref/h2020/grants_manual/hi/3cpart/h2020-hi-list-ac_en.pdf
For the Danube Region, the 2014-association of the Western Balkan countries (Albania, Bosnia and Herzegovina, the Former Yugoslav Republic of Macedonia, Montenegro and Serbia) as well as Moldova and Ukraine (in 2015) to Horizon 2020 was a major step to promote cooperation on research and innovation in the region.
Other associated countries to Horizon 2020 include Norway, Iceland, Israel, Turkey ...
Nota bene: There is also another meaning of "Association Agreements" in EU jargon (see http://eeas.europa.eu/association/): It can mean a broad accord between the EU and an external state which enables them to build closer economic and political ties. They were enabled by the 1957 Treaty of Rome in order to allow the United Kingdom to cooperate with the European Economic Community. Since then, agreements have been signed with countries in the Western Balkans, such as Albania and Serbia, in the Mediterranean, such as Algeria and Lebanon, and in Eastern Europe, such as Georgia and Moldova.