The Sublime, in aesthetic theory, is something powerful and terrifying that arouses a strange feeling of pleasure in the subject. For example, when viewing a hurricane or vast desert wasteland you can be overwhelmed by their awesome force, but exulted at the same time. For Schopenhauer, this involved a kind of "turning away of the will". The sheer awesome power of the object overwhelms our will and violently turns it away from ourselves, and we enter into a will-less state of pure contemplation of the object, which results in a strange exultation: the sublime. This is an unstable state, which is difficult to maintain, because any awareness of the particular danger that the object causes us, or reflection on ourselves in relation to the object, would destroy the affect. So we feel the sublime at witnessing the awesome power of a tornado, but if we become aware that the tornado is in fact heading towards us and is probably going to kill us, we will just feel regular old, non-sublimey terror. One of my older comics was a more serious take on this aesthetic theory.
If you are interested in more, this is a pretty good lecture of Schopenhauer's Aesthetics, by Alex Neill. The Stanford Encyclopedia also has a good article on it.
The art is a reference to Caspar David Friedrich's Wanderer above the Sea of Fog, which is commonly used to portray the sublime in art, and many of his other paintings had similar themes.