The name sounds really cool. Well, so are the facts about it. And for the same reason scientists such as Stephen Hawking have spent their whole lifetime researching and investigating its mysteries.
Black Holes are made when super-giant stars (at least three times larger than our own Sun) explode. The fuel of stars is Hydrogen and through complicated combinations, the core creates it and uses it to fight against the gravity (which tries to squash the star).
A star lives for millions of years on average but at the end of its lifetime when it runs out of fuel, it won't have the strength to fight against the gravity anymore, so the gravity will compress the center of the star into a tiny ball. The speed of this action is so fast that it would have to happen a few thousand times to take up a single second. In reaction a shock wave is sent outwards from the core in every direction which causes a vast explosion.
The release of energy till an hour after the explosion is so much that it could light up a whole galaxy.
But the reason we don't see a star in a supernova state commonly (like shooting stars etc.) is that stars live for billions of years and the visible state of supernova with a naked eye is only one hour. So the chances are one hour in a billion years or: 1 in 8,640,000,000,000.
The density of the burning ball in the center of this supernova is so much that if only one spoon of it was dropped on the ground on Earth, it would go all the way down to the core.
Now, if the original star was large enough, it will become the core of a black hole, otherwise, it will just be a Neutron Star or Dwarf Star.
Now that we have learnt how black holes are formed, let's take a look at its structure. A good example to understand this concept is a kitchen sink. It has a round mouth on the top and a long neck attached to its end. In a black hole, the neck or whatever is inside is called a singularity. Although scientists can't see it, because light is only pulled in and there is no reflection.
So it is a hypothesis. As expected, the gravity of the black hole will decrease as distance is gained from its core. The farthest point from the black hole core in which light can still be captured and pulled in, is called the event horizon.
Quasar is another cool thing related with Black Holes. The black hole absorbs all the surrounding gasses and this causes a massive creation of light which is said can be seen on the other side of the universe.