black holes are areas of space with massive gravitational pull, so that nothing (not even light) can escape, they often occur during the death of a star, when it has run out of fuel to burn. http://www.nasa.gov/audience/forstudents/5-8/features/what-is-a-black-hole-58.html
The massive gravitational pull is caused by the compression of matter into a tiny volume.
The formation of black holes is a subject of current research, with theories on how this happens. Stephen Hawking is the man to ask on this one 🙂