Bamf is an interjection / onomatopoeia. "Bamf" in the Marvel Universe relates to the X-Men character Nightcrawler and the resulting sound he makes when he transports himself. The sound is caused by air rushing into the area where Nightcrawler's body once was.
In Uncanny X-Men #153, Kitty Pryde tells a fairy tale to six-year old Illyana Rasputin, which includes a race of creatures called "Bamfs." Bamfs are small, cute versions of Nightcrawler (even wearing similar clothes to his classic costume).
Later, in the first Nightcrawler limited series, Nightcrawler is sent to another universe that is identical to Kitty's fairy tale, and there he encounters the Bamfs. Here, he discovers that female Bamfs do not look the same as male bamfs-- they are full sized and look very much like female versions of Nightcrawler himself.