What does this statement do?

It doesn't do anything on its own, however, when you use it like this:

_G.GlobalVariable = 1

You can use _G.GlobalVariable in every Script / LocalScript depending on which is it used in. Example: Script 1: workspace.GoodScript

_G.GlobalVariable = 1

Script 2: workspace.OtherScript

print(_G.GlobalVariable) -- Prints "1"

Other example: Script 1: workspace.BadScript

GlobalVariable = 1

Script 2: workspace.OtherBadScript

print(GlobalVariable) -- prints "nil"

_G is a variable (not a statement).

It's equatable to other variables like math or table, in that all it is is a predefined table.

The initial value of _G is the same across all threads & scripts, so modifying a value in the table _G in one script will also modify that key in all others (Limitations: LocalScript on any single client share one separate _G, the server has one separate _G)

Simple example of use:

In one script, NameSetter

_G.zombieName = "Dave";

In all of the zombies in a place:

while not _G.zombieName do
    wait(1);
end
script.Parent.Name = _G.zombieName;

Even though the second script never defines/changes _G.zombieName, the set from NameSetter will affect all of the zombies, and give them the value for their name.