An intermediate certificate is a file needed by the web browser to identify the C.A. who issued your SSL certificate.
It is not strictly required, but it is HIGHLY recommended that you install it along with your server SSL certificate in order to have full compatibility with all browsers and mobile devices.

The intermediate certificate will be emailed to you along with your SSL certificate, but you can also download it from the vendor's website.
This is also sometimes referred to as the "CA Bundle."
Please note that some certificates have multiple intermediate certificates.

You can use only the intermediate certificate of your vendor: you can't use the intermediate certificate of a different vendor.

You can download your intermediate certificate from the vendor website at following links:

RapidSSL
GeoTrust
Comodo
Thawte
Verisign