Filament is the fiber that make up the 3D printed object. In the proces the plastic (and sometimes even metal) is heated up and extruded from the nozzle.
There are many diferent types of filament as well. The most common are: PLA, ABS, Ninjaflex, and PETG. The temperature and strength varies.
Filament can also come in diferent colors, like the one in the image above.
One of the more interesting types of filament is Ninjaflex. It is a flexible filament that has a rubbery efect. Some people have even printed shoes out of Ninjaflex filament.