Corrections are welcomed. I don't feel too well at home with the content of the last two paragraphs yet. There are also most likely more stories than these three.
Short story; in classical calculus $dx$ is simply a formal symbol. When paired with an integral sign $\int$ it means integrate with respect to $x$. When paired with another formal symbol $df$ with $f$ a function of real numbers (that's right; $df/dx$), it means the derivative of $f$ with respect to $x$. This short story is often peppered (sometimes confusingly) with the intuition that these correspond to so-called infinitesimal quantities.
The notion that these are infinitesimal quantities is made rigorous in synthetic differential geometry. This however supposes a somewhat different logic (e.g., the axiom law of excluded middle will not in general be true). This somewhat different logic yields a different real number object; an infinitesimal is then a non-zero real number $e$ such that $e^2=0$.
In the machinery of real manifolds $dx$ is the image under the (universal) derivation $d:CM\to\Omega^1 M$ of a coordinate function $x:M\to\mathbb{R}$, where $CM$ is the algebra of smooth functions $M\to\mathbb{R}$, and $\Omega^1M$ the vector space of $1$-forms on $M$.