Masters courses by research are generally MRes programmes, but you will also find other specifically research related masters, for example MSc by Research. These types of courses include both research methods training in the relevant discipline and generally a substantial research project.
Masters courses by research are valuable, and sometimes necessary if you are planning to progress to a PhD. In some subjects, particularly in arts, humanities and social sciences, it is expected or required that you will complete a masters level programme with a substantial research element before a PhD, and if you are a UK student, you may find it difficult or impossible to find funding for a PhD without doing so.
This type of masters course is also useful if you are considering a career in the commercial world where research is a key focus but a PhD is not specifically required. Additionally, if you are unsure whether a PhD is right for you, a Masters by Research can give you useful experience of what studying for a doctorate might be like, whilst at the same time allowing you to earn a valuable masters level qualification.
You can start looking now for Masters opportunities with funding on PostgraduateStudentships, or for courses in your subject area on MastersCompare.