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This refers to the characters that are sometimes found in fanwork (especially Touhou-related.) They are usually seen naked and always depicted wearing a bag over their faces, usually marked with 罪 (Tsumi, or "Sin.") As a result, they are referred to as 罪袋/Tsumifukuro, which literally means "sin bag" or "sin sack".
Though their exact origins are unclear (at least to this editor) it seems a safe bet to liken them to the more eccentric 2ch users and otaku because of their tongue-in-cheek speech and unwavering fanaticism and lust for the characters they're depicted with.
You'll most frequently see them depicted as loyal fans and followers of Yakumo Yukari, most notably in the promotional video for the Coolier song Yukarin Fantasia.
"Anon" is a way you'll sometimes see them described in English, referring to the anonymous of 4chan. Though technically not the same thing, the two concepts are somewhat similar.
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