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http://bulbapedia.bulbagarden.net/wiki/EV_training

Effort values (abbreviated EVs and previously called Stat Exp) are attributes which give bonuses to a Pokémon's stats and improve differently depending which Pokémon they defeat. These bonuses, in the form of effort points, are gained in addition to bonuses gained by increasing level. A Pokémon which increases in level using a Rare Candy instead of battling does not gain any EVs, making it weaker than a Pokémon who increases in level normally.
Roughly speaking, defeating fast Pokémon increases Speed better than fighting slow Pokémon, defeating Pokémon with high hit points improves HP more than defeating Pokémon with low HP, and so on. For example, fighting 100 Machop will improve a Pokémon's attack stat more than fighting 100 Abra of the same level, whereas the Abra will improve the Special Attack stat more. In Generation I and Generation II effort points given are equal to the Pokémon's base stats. For a list of the effort points that Pokémon give away on their defeat in Generation III and Generation IV, see list of Pokémon by effort value yield.
Gaining effort points to increase desired EVs varies from being simple to complicated, depending on whether one wants their Pokémon to fully max out its stats or raise them to balanced heights.