HiCustomer and welcome to JA!
First, let's look at the technical definition of "denier" (from http://en.wikipedia.org/wiki/Denier_%28measure%29#Denier):
One denier means that each fiber used in the luggage weighs 1 gram per 9000 meters. High denier values either mean that the fibers are thicker, or that the fibers are more dense.
As far as luggage goes, in general, the higher the denier value, the better quality the luggage is. For example, luggage made from 600 denier polyester will not be very good quality, but will not cost that much. On the other hand, luggage made from 2500 denier nylon will be extremely durable and last for a long time. It will also cost much more.
You can look at this link for a price comparison. You'll see that the least expensive ones are about 600 denier, while the more expensive ones are 2500+ denier:
I hope this helps. Let me know if you need more information,