A small jump (commonly short hop) is the act of pressing the joystick upwards or pressing the X or Y buttons very quickly, and letting go before the character leaves the ground. This will result in a jump that is shorter than the normal jump. This technique can be performed in all three Super Smash Bros. games.
The short hop technique is essential in high level play, and is primarily seen in the form of shffl'ing.
Some characters are harder to small jump with, as they jump very quickly. In Melee, for instance, Fox has a 2 frame time period in which the player needs to let go of the jump button. Bowser with his 7 frame period is much easier to short hop with. The height of a short hop also varies from character to character.