Soak is a Defensive stat that measures how resistant you are to Physical attacks. A higher Soak value will lessen the damage taken from any Physical attack that hits you. Also, a higher Soak makes it more likely for you to Block a Physical attack successfully, and also helps in Just Defended attempts, assuming you have the Just Defended ability.
Several things can influence a character's Soak score. Being big and burly is a natural nod towards having a good Soak stat. Training a lot against weathering brute-force impacts can also help. Generally, people good at Physical attacks also have a good Soak stat.
However, a higher than average Soak score has its drawbacks; it's very possible you'll have a lower Reflex score to balance this out, and possibly even lower scores in one or more of your Defense and/or Offense stats, too.