Chalk is usually made of calcium carbonate or calcium sulfate. Before it can be used, though, it must be treated to cut down the dust it produces (and in some cases, give it a different color). You can find more information here: http://www.enotes.com/how-products-encyclopedia/chalk
Natural chalk is a soft, white, porous sedimentary rock, a form of limestone composed of the mineral calcite. Modern blackboard chalk is generally made from the mineral gypsum (calcium sulfate), usually in sticks of compressed powder.