Paprika is a mild chile powder made from sweet, dried, ground chile peppers. Most famous is Hungarian paprika where it is used for soups and stews and the traditional goulash. Paprika is also produced in Spain and in the U.S. In addition to the sweet version you can get hotter varieties including a hot smoked paprika.
Common Hungarian paprika is a very mainstream product and can be found in most grocery stores in the U.S. Specialty products such as Spanish Hot Smoked Paprika (as well as others) can be found online here.
There are several alternatives for paprika if you don't have it.