Camelhair, camel hair, or camel's hair can simply mean exactly what it says: the hair of a camel. More usually, it refers to a cloth made from those hairs, and in that form may also be called camel wool.
The hair is usually taken from the Camelus bactrianus or two-humped camel native to East and Central Asia. Living in cold climates, the animal develops a thick winter coat that has longer outside guard hairs and a soft undercoat called a flock or duvet. In the spring, the camels shed their hair during a natural molt; the fallen clumps of hair are gathered by hand, which partly explains why camelhair is expensive. The longer guard hairs, which are used to make high quality artist's brushes, are separated from the undercoat, which is woven into a soft, heavy, tan cloth. (There is also a very rare and expensive white camelhair, made from albino camels, that was described by Marco Polo.)
Those other camels, the ones with one hump (dromedaries), have hair too, but it's much coarser. The Bedouins apparently use it to make cloth, tents, and carpets. But the camelhair you buy in the west is generally soft, and comes from the bactrian camel.
Camelhair has similar thermal insulating properties to cashmere but more body, and makes a very nice winter coat or jacket.
Today most camelhair comes from China, Mongolia, Iran, Afghanistan (not now, I guess), Russia, New Zealand, Tibet, and Australia.