A Demon Lord is among the most powerful of demons. The title apparently belongs to a member of the demon aristocracy who rules other demons in a dimension under a being of even higher order, in particular the Demon King. A demon of this status earns the title "Lord" in front of their name.
It's not clear what amount of power a demon may gain from being a Demon Lord beyond what being of the aristocracy gives them. Horribus's powers as a Demon Lord have been shown to be formidable, but the only one attributed specifically to the status is that a Demon Lord can be killed only by beheading or piercing the "centre of their dark soul" (a point at about the centre of the chest) with an enchanted weapon.
The female equivalent of a Demon Lord appears to be called a Demon Queen, the known example being Deplora.