Short answer: __proto__ is a reference to the prototype property of the constructor that created the object.
Objects in JavaScript
A JavaScript object is a built-in type for a collection of zero or more properties. Properties are containers that hold other objects, primitive values, or functions.
Constructors in JavaScript
Functions are regular objects (which implement [[Call]] in ECMA-262 terms) with the additional capability of being callable but play another role in JavaScript: they become constructors (factories for objects) if invoked via the new operator. Constructors are thus a rough analog to classes in other languages.
Every JavaScript function is actually an instance of the Function built-in function object that has a special property named prototype used to implement prototype-based inheritance and shared properties. Every object created by a constructor function has an implicit reference (called the prototype or __proto__) to the value of its constructor prototype.
The constructor prototype is a sort of blueprint for building objects since every object created by the constructor inherits a reference to its prototype.
The prototype chain
An object specifies its prototype via the internal property [[Prototype]] or __proto__. The prototype relationship between two objects is about inheritance: every object can have another object as its prototype. The prototype may be the null value.
The chain of objects connected by the __proto__ property is called the prototype chain. When a reference is made to a property in an object, that reference is to the property encountered in the first object in the prototype chain that contains a property of that name. The prototype chain behaves as if it were a single object.

Whenever you try to access a property in an object, JavaScript starts the search for it in that object and continues with its prototype, the prototype's prototype and so on until the property is encountered or if __proto__ holds the value null.
This type of inheritance using the prototype chain is often called delegation to avoid confusion with other languages using the class chain.
Almost all objects are instances of Object, because Object.prototype is last in their prototype chain. But Object.prototype is not an instance of Object because Object.prototype.__proto__ holds the value null.
You can also create an object with a null prototype like this:
var dict = Object.create(null);
Such an object is a better map (dictionary) than a literal object, which is why this pattern is sometimes called the dict pattern (dict for dictionary).
Note: literal objects created using {} are instances of Object since ({}).__proto__ is a reference to Object.prototype.