The Altar of Sunlight is the "Headquarter" of the Warrior of Sunlight covenant. It's located in Undead Parish and is behind the Hellkite Dragon. By praying on the altar you can join the Warrior of Sunlight. Later in the game, after obtaining the Lordvessel from Gwynevere at Anor Londo, Solaire of Astora will also be here.
It is possible to access the altar early in the game by running past the Hellkite Dragon or killing it.