A Gambit in Mafia is a short-term risk taken by a player or group of players in order to gain a long-term strategic advantage.
Things Which Are Gambits
One of the first gambits was the "Roseo Gambit," from the game Mafia 3 (Mafia with a Vengeance). Roseo, a member of the mafia, claimed that he was a cop and that he had investigated one of his scummier mafia buddies on night 0. The next day, and all subsequent days, he would claim to be roleblocked. Most of the town was convinced that Roseo was the cop until the real cop counter-claimed him several days later. The short-term risk of fake-claiming cop paid off in the form of being beyond suspicion.
Things Which Are Not Gambits
In chess, a gambit is when you sacrifice a piece in order to put yourself in a more advantageous position. But in SA Mafia, a gambit often just means "A thing that you do" or even "a thing that you think". Here are some strategies which are called gambits even though they clearly don't involve any risk at all: