A black hole is an object in space that is so incredibly dense, it has an ultra-strong gravitational pull. That pull is so strong that even visible light can't escape from it, thus it's invisible and termed a "black hole."
Although not completely proven to exist, black holes are one of the theories of Einstein's Relativity, and more and more physicists believe they do exist.
They are theoretically formed when a large star burns up all its fuel. Without the outward radiation forces from its fuel burning, the star will then collapse from its own gravitational pull into a small, dense object. As it collapses further, it gets even more dense, increasing its own gravity until it forms a black hole.
For More Information: