Most aviation and television weather reports give air pressure in inches of mercury, or "Hg, while other meteorologists use a measure called millibars.
Basically, millibars is the metric unit of atmospheric pressure, while inches of mercury is the English unit.
The values represent the "weight of the air" at sea level on one square inch of surface area.
1 inch of mercury = 33.864 millibars. So, when you see a pressure given as 29.92" of Hg, it is the same as 1013.21 mb (29.92 x 33.864). These both represent the average atmospheric pressure across the earth.