The Chosen Ones were human children whom Fairies would protect and avenge if harm came to them. Eventually, the Fairies would claim these children and take them to their "Lost Lands". Once there, the children would become Fairies themselves. The Fairies required these children to continue their race, despite being immortal (or near-immortal).
In 1909, after a night of heavy drinking among his unit, some of Jack Harkness's soldiers accidentally ran over and killed a Chosen One in Lahore. In retaliation, the Fairies killed all his men, sparing only Jack.
In the 21st century, Torchwood Three allowed the Fairies to claim Jasmine Pierce as their Chosen One. Jack permitted this on grounds that the Fairies would cause immense destruction beyond Torchwood's control if they were deprived of the newest addition to their ranks. Before her departure to the "Lost Lands", Jasmine said "Thank you" to Jack in a Fairy-like voice. (TV: Small Worlds)