It's not known how many comets orbit the Sun in our solar system, but the number may be in the trillions. They spend a long, long time in the deep reaches of the outer solar system, only occasionally plunging toward us. If they pass near a planet their orbit can be changed, and some wind up on paths that take them so close to the Sun they burn up. These are called sungrazers.
That is what NASA's Solar Dynamic Observatory saw on the evening of July 5/6, 2011. This has been seen many times before, but this is the first time one has been seen streaking directly across the Sun's face!
Here's the video (I recommend watching it in HD -- at least 720p --to make the comet easier to spot):
Did you see it? The whole event took about 20 minutes to unfold, and is seen here highly compressed in time. This is no perspective effect; that comet really was just above the Sun's surface, and most likely impacted the Sun or disintegrated from the heat. Astronomers are even now going over the data from the event to see if they can determine the comet's fate.
On the NASA Sun-Earth news site is more information, and a very cool video from SOHO showing the comet's approach to the Sun.