When people say dump valve, they are generally referring to a blow off valve as that has the stereotypical fast and the furious sound.
They are essentially a pressure release system, intended to prevent compressor surge. When your turbo is spooling and you close the throttle, e.g. when changing gears, the turbo obviously has to spin down meaning there is still compressed air trying to enter the engine. This is where the dump valve comes in, either venting the air to the atmosphere (blow-off valve) or re-circulating the air back into the intake (re-circ valve/CBV)