Sand Veil is an ability introduced in Generation 3. So far, ~ Pokémon have this ability.
During a sandstorm, the evasion of the Pokémon with this Ability is increased by 25%. The Pokémon with this Ability will take no damage from the sandstorm if it otherwise would.
Outside of battle
If a Pokémon with Sand Veil is the leading the party while travelling in a sandstorm, wild Pokémon are only half as likely to appear.