Agar or agar-agar is a thickening agent derived from various types of dried Asian seaweed. Apparently it's a polymer made up of sub-units of the cosmic-sounding sugar galactose, a component of the algae's cell walls. It has commercial uses in the manufacture of cosmetics and laxatives (because of its high fibre content) and as a culture medium for bacteria, but it also has culinary utility as a thickener, emulsifier, and gelling agent.
Agar is odourless, colourless, and tasteless, much like gelatine or gelatin; because gelatine is made from animal by-products, vegetarians can use agar as a substitute. Like gelatine, agar is full of (incomplete) protein, but it also contains lots of minerals, which isn't surprising considering that it comes from seaweed. It is not as easy to find as gelatine, but health food stores and Asian markets should have it. Unlike gelatine, agar doesn't need to be refrigerated to set; it sets at room temperature, which is why it's so popular in Asia, where refrigeration is still a luxury.
Agar is sold in bars (often called kanten bars, after a particular type of Japanese seaweed), powder, or flakes. Whatever form it comes in, it needs to be soaked in liquid for 15 minutes, then heated over low heat - stirred frequently - till it dissolves completely. As it cools, it gels. Use agar powder in the same proportions as gelatine powder (1 tblsp/15 ml will gel 2 cups/480 ml liquid); triple the amount of flakes or use 1 bar for the same purpose.