Use this phrase to talk about events that started a few weeks or months ago, and have continued or repeated until now. For example:

I've been eating a lot of junk food lately.

What have you been doing lately?

There's a little confusion about the difference between "recently" and "lately". "Lately" is more appropriate for continuing situations, while "recently" is better for events that happened just once, a couple of times, or that have continued but are finished now:

Have you been going to the gym a lot lately? You look great!

I ran into Stacy recently at the Food Emporium.