It's a phrase used to indicate your destination. You would follow "voy al" with the place you are going to.
Examples:
* Voy al cine. (I'm going to the cinema.)
* Voy al supermercado. (I'm going to the supermarket.)
* Voy al parque. (I'm going to the park.)
* Voy al trabajo. (I'm going to work.)
It's important to note that "voy al" is a common and informal way to say "I'm going to the..." A more formal way to say it would be "Voy a..." followed by the place. For example, "Voy a la escuela" (I'm going to school).