wg refers to an important non-constant programming element used in the MediaWiki software, and is an abbreviation for "Wikipedia Global" (the naming pre-dates the spread of MediaWiki beyond Wikipedia).
In general, any global variable (variable that has global scope) within the software has this prefix to make it easily identifiable when programming. However, a casual hacker will mainly come across such variables in the files includes/DefaultSettings.php and LocalSettings.php, which define variables to control the behaviour of the software in various ways.
The DefaultSettings.php file stores the defaults for these values and should not be edited; the LocalSettings file is used to override these values for a specific site — if a particular variable is not mentioned in your LocalSettings file, copy the entry from DefaultSettings and amend as appropriate.
See also 
- Manual:Coding conventions/PHP#Variables for other variable prefixes used in MediaWiki.
- Manual:Configuration settings contains a list of all customization settings defined as global variables in MediaWiki. These can be configured in LocalSettings.php.
- Manual:Global object variables lists some of the main global variables that aren't customization settings.
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