It is a collapsed star. When a star has used up all of its fuel, there is no energy to balance gravity and the star "collapses" inward. Stars the size of our sun will become red dwarves. Larger stars will become "neutron stars"; very dense, very small stars. The very largest stars will collapse so suddenly and so violently that they disappear altogether, but the gravity is still there. This gravity is SO strong that not even light can move away from it, so it looks like a "hole" in space. NO light means no color, so it is a BLACK HOLE.
The most beautiful yet the simple physical object there is: black holes are made only of the fabric of space and time (hence beautiful), yet is completely described by just three numbers (mass, angular momentum, and charge) (hence the simplest).