Hygroscopy is the ability of a substance to attract and hold water molecules from the surrounding environment. This is achieved through either absorption or adsorption with the absorbing or adsorbing material becoming physically 'changed,' somewhat, by an increase in volume, stickiness, or other physical characteristic of the material, as water molecules become 'suspended' between the material's molecules in the process. While some similar forces are at work here, it is different from capillary attraction, a process where glass or other 'solid' substances attract water, but are not changed in the process (for example, water molecules becoming suspended between the glass molecules).
Hydrophilic ~ water loving. Such compounds have an affinity to water and are usually charged or have polar side groups to their structure that will attract water.
Hydrophobic ~ water hating. These compounds are repelled by water and are usually neutral (no charge.)
In more depth, these terms have much to do with the structure of water itself. Water consists of two hydrogen atoms joined to one oxygen atom, all in a triangular pattern. The oxygen is negatively charged whilst the hydrogen end is positively charged. Thus, water molecules are actually attracted to each other and form hydrogen bonds.