It's easier to understand what it does by looking at the code it generates. I disabled minification at my lunr-demo and this is what I got:

app.ff56587996e597e4d868.js

    function loadIndex() {
      // Here's the magic. Set up `require.ensure` to tell Webpack
      // to split here and load our search index dynamically.
      //
      // The first parameter defines possible dependencies that
      // must be loaded first. Given there aren't any, we will
      // leave it as an empty array.
      return new Promise(function (resolve, reject) {
        try {
          __webpack_require__.e/* nsure */(1, function (require) {
            var lunr = __webpack_require__(155);
            var search = __webpack_require__(156);

            resolve({
              index: lunr.Index.load(search.index),
              lines: search.lines
            });
          });
        } catch (err) {
          reject(err);
        }
      });
    }

/***/ }

So you can see my require.ensure gets transformed to __webpack_require__.e thanks to webpack. The more interesting bit is that particular function covered next:

manifest.b3f1586f30f110bf84e4.js

/******/     // This file contains only the entry chunk.
/******/     // The chunk loading function for additional chunks
/******/     __webpack_require__.e = function requireEnsure(chunkId, callback) {
/******/         // "0" is the signal for "already loaded"
/******/         if(installedChunks[chunkId] === 0)
/******/             return callback.call(null, __webpack_require__);

/******/         // an array means "currently loading".
/******/         if(installedChunks[chunkId] !== undefined) {
/******/             installedChunks[chunkId].push(callback);
/******/         } else {
/******/             // start chunk loading
/******/             installedChunks[chunkId] = [callback];
/******/             var head = document.getElementsByTagName('head')[0];
/******/             var script = document.createElement('script');
/******/             script.type = 'text/javascript';
/******/             script.charset = 'utf-8';
/******/             script.async = true;

/******/             script.src = __webpack_require__.p + "" + {"0":"ff56587996e597e4d868","1":"ec12fe80f7b40165d2fe","2":"cd47c1bfb8874d4b4dfb","3":"8d8a74ddd195dd94bec2"}[chunkId] + ".js";
/******/             head.appendChild(script);
/******/         }
/******/     };

This is where the magic happens. When we call this particular function, it injects a script to the page and loads the file. The file itself executes webpackJsonp([1,4],{ ... }) which allows it to associate with the application and eventually gives us the behavior what we want.

webpack 2 improves the situation further by providing System.import. Even though it's not entirely comparable, it gives us a Promise based interface and most importantly error handling.