Nebulae are huge clouds of gas and dust that lie in the space between the stars.
The ones we commonly observe are located right within our own galaxy, the Milky Way. Nebula is the singular form of Nebulae.
Types of nebulae
Among several different types of nebulae four of them very well known.
It shines with the light of young stars inside it, due to the ionized gases that emit light of various wavelengths.
Image: IC-1396 Nebula.
It reflects light from nearby stars but it does not create its own light.
Image: Messier 78
It blocks lights of out stars, and it contains a very high concentration of dust. This allows them to scatter and absorb all incident optical light.
Image: LDN 483
They are basically leftover gas shells of a dead red giant star.
Image: Messier 57 or NGC 6720 or Ring Nebula (because it looks like a ring)
Supernova Remnant Nebula
Image Source: NASA, National Geographic, Sky & Telescope