GameObjects are the fundamental objects in Unity that represent characters, props and scenery. They do not accomplish much in themselves but they act as containers for Components, which implement the real functionality. For example, a Light object is created by attaching a Light component to a GameObject.
A GameObject always has a Transform component attached (to represent position and orientation) and it is not possible to remove this. The other components that give the object its functionality can be added from the editor’s menu or from a script. There are also many useful pre-constructed objects (primitive shapes, Cameras, etc) available on the menu, see Primitive Objects.
Since GameObjects are a very important part of Unity, there is a GameObjects section in the manual with extensive detail about them. You can find out more about controlling GameObjects from scripts on the GameObject scripting reference page.