An inductor is a coil of wire which may have a core of air, iron or other ferrous materials. Its electrical property is called inductance and the unit for this is the henry, symbol H. 1 Henry is very large so mH and µH are often used, 1000µH = 1mH and 1000mH = 1H. Iron and ferrite cores increase the inductance since they can become magnetized. Inductors are mainly used in tuned circuits and to block high frequency AC signals (they are sometimes called chokes). They pass DC easily, but block AC signals, exactly the opposite of capacitors.
Inductance is a property that is possessed by all coils of wire containing electrical current. The current creates a magnetic field, which can in turn induce current flow if the original current decreases in magnitude or stops. Essentially, an inductor is like a capacitor, only stores energy in a magnetic field instead of an electric field. This makes it very useful for power supply filters that help maintain a fairly noiseless current. A transformer is essentially two inductors, where current flow through one inductor induces current flow in the second as a result of the magnetic field.
Inductors are most often found in audio electronics, power supplies, and radio tuning circuits. An inductor can easily be made by winding insulated wire around a ferrous rod. Thin gauge wire is easiest, since it can bend into smaller loops and is cheaper than large gauge wire.