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It came from an episode of Big Bang Theory; when Penny gets hurt, and asks Sheldon to be more comforting, he starts the conversation with "there, there."

What does that mean?

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The Wiktionary explains it in the best way possible:

there, there: (idiomatic) Conveys comfort; used to calm somebody or urge somebody to relax, especially when the person is crying.

There, there. Even though you broke up with her, you'll be fine.

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The point of having Sheldon use the phrase is that it doesn't convey comfort. It's a platitude, but he's too socially awkward to come up with anything that might actually help Penny. – Paul Spangle Nov 30 '11 at 12:08
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"There, there" is generally a phrase used while consoling someone. It is usually followed with something that might be able to lift the sad person's spirits. It's similar to "now, now."

There, there, it's okay. We can fix your broken toy.

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