Being a Catechumen is the stage between being an enquirer into Orthodoxy and being Baptised.
Once you are sure you wish to join the church you become a catechumen which is kind of like a period of preparation and a chance to learn about the principles of the faith before baptism. A bit like someone being engaged to be married.
I am sure it is different for everyone, but as someone that was not brought up in a christian household I find that this time is a blessing as with every article or books that i read on Church practices and some issues in faith I have more and more questions to ask.
I hope this helps.