Literally speaking, a macromolecule is a large molecule, and may be a protein, a lipid, a nucleic acid, or a polysaccharide (i.e., a starch). Polysaccharides, proteins, and nucleic acids are all polymers; lipids are not. It may also be a plastic.
Carbon nanotubes are macromolecules, as are the larger sheets of graphite. A macromolecule may achieve its size through being a single polymeric chain, or it may be composed of multiple smaller units that are noncovalently bound.
It is a convenient term because the bulk properties of a macromolecule may differ from those of smaller molecules. As an example, the nucleic acids are very long very rigid rods, and would be shattered by shear forces at the tip of a pipette if pipetted. The lack of recognition of this fact led to some interesting comments in old chemistry texts. Linus Pauling's classic College Chemistry, the 1964 edition, contains the statement that DNA is no longer than 5000 base pairs long, because people hadn't adequately learned to use a stirring rod to collect DNA, instead of pipetting it.
Another example, from proteins, is that they require electrolytes to dissolve in aqueous solution, and often denature if dissolved in distilled water. These kinds of properties are often not obvious if someone only has experience with small molecules.