It's the name of an annual event that takes place in Austin, Texas. Here is the wikipedia article. I don't know much about it myself, but it seems really cool. https://en.wikipedia.org/wiki/South_by_Southwest

As Lee says, it's a music and culture festival that happens in Austin, TX (which has something of a reputation for live music). I suppose it's an allusion to Austin's somewhat southerly position in the American Southwest (which rather confusingly isn't actually in the southwest of the US -- that would be California or Hawaii, depending on how you look at it, neither of which are included in the term). The form of the name is evocative of Hitchcock's great film "North by Northwest", which itself seems to refer to a point of the compass, such as "northwest by north", but the point "north by northwest" is presumably what is more often called "north-northwest", and similarly for "south-southwest" in the case of this festival.