Most people are familiar with the concept of a competitive analysis; it's a fairly standard business term to describe identifying and evaluating your competition in the marketplace. In the case of UXD, a competitive analysis is used to evaluate how a given product's competition stacks up against usability standards and overall user experience. A comparative analysis is a term I've often used to describe the review of applications or website that are not in direct competition with a product, but may have similar processes or interface elements that are worth reviewing.
Often, when a competitive review is conducted, the applications or websites are reviewed against a set of fairly standard usability principles (or heuristics) such as layout consistency, grouping of common tasks, link affordance, etc. Sometimes, however, the criteria can be more broadly defined to include highlights of interesting interaction models, notable functionality and/or other items that might be useful in the context of the product being designed and/or goals of a specific release.
Competitive analysis is best done during early planning and requirements gathering stages. It can be conducted independent from a specific project cycle, or if used with a more focused criteria, it can help with the goals for a specific release.