One meaning of ‘check out,’  is to look at  or explore something, for the first time.

Hey, check out this video!

You can say “check (something) out”. For words like “it”, “them”, and “she,” this order is required.

I’ve heard a lot about that band. I really need to check them out. 

For longer phrases, it’s better to keep “check out” together:

I really want to go check out that new coffee shop on Broadway.

Like many phrasal verbs, "check out" is a bit informal. You’ll hear this phrase quite frequently in English, especially among younger people.