What is this practice called in JavaScript?

Ben Alman presents an interesting argument on the commonly use terminology for this "pattern".

His blog post about it is here (http://benalman.com/news/2010/11/immediately-invoked-function-expression/).

If his post is too long for you here is my summary (I still recommend reading it as this summary leaves out a lot):

If you want a named function to be self executing/invoking it would should look like this:

// Hello, my name is "foo". I am a named function.
// When I am invoked I invoke my self when I am invoked.
function foo(){
   foo();
}

If you want an anonymous function to be self executing/invoking it should look like this:

// Hello, I have no name...
//   (though I am assigned to the variable "foo" it's not who I am).
// When I am invoked I invoke my self when I am invoked.
// In ECMAScript 5 I no longer work. :-(
var foo = function(){
    arguments.callee();
};

If you want an anonymous function to be immediately executed/invoked it should look like this:

// Hello, I have no name. I am immediately invoked.
// People sometimes call me a "self-invoking anonymous function"...
//    even though I don't invoke myself.
// Ben Alman calls me an "Immediately-Invoked Function Expression"...
//    or "iffy" for short.
(function(){ /...code.../ }());

My own thoughts on the matter:

The other answers are correct; what you are asking about is commonly referred to as a "self invoking anonymous function."
However, that terminology doesn't accurately reflect what is really happening; "Immediately-Invoked Function Expression" (aka "iffy", for short) seems like a more appropriate term.

Fun facts to impress your friends:

You can create an Iffy like this, too:

!function(){
   alert("immediately invoked!");
}();

or

+function(){
   alert("immediately invoked!");
}();

or if you are really cRaZy ( example ):

!1%-+~function(){
   alert("immediately invoked!");
}();

in most browsers (if not all, I'm not sure) and the effect will be the same (facebook uses the ! version).

It's been around longer than "patterns". It is a common idiom in scheme/lisp primarily used for encapsulation especially when doing meta programming.