Somewhat simplified explanation - because of quite normal effects of radio propagation, including reflection from buildings, land masses, and various other matters, the VOR signal you receive may not have travelled in a straight line. The practical effect of this is that the apparent radials you receive in your aircraft are not perfectly straight lines back to the beacon, but might have a wobble in them. As far as possible, VOR beacons are installed in such a way as to minimise these imperfections, but they inevitably exist to some extent.
If you fly along a beacon following a VOR radial, using the CDI, keeping the needle perfectly in the middle, you may not actually be following a perfectly straight line on the ground. You will be following any slight bends in the radials. For most of the time you will never notice, because the error will be only 1 or 2 degrees, and you're unlikely to see that slight curvature. If you fly in an area promulgated as affected by significant scalloping, you might actually notice you need to keep changing heading to keep the CDI centered. In extreme cases the needle will move around faster than you can keep up with it!
If you have a multi-sensor FMS (particularly one with satnav) then it will do a better job of flying straight lines along the ground. If you set the autopilot to follow the FMS, following a track directly to a VOR, and meanwhile set the #2 CDI to line up with the VOR radial, it is quite common to then see the VOR radial wander a little to the left or right, as the aircraft bores a straight line through the sky.