Git is a "distributed version control system" (DVCS). It's website is http://git.or.cz and you can read more about it on http://en.wikipedia.org/wiki/Git_%28software%29
There are precompiled versions available for Windows, Linux (via apt-get/yum/etc) and OS X, but if you want the most recent version, or to install it in a non-standard location, compiling it form source is actually very easy (on OS X at least).
This guide was done on OS X Leopard (version 10.5.3), but the steps are basically the same on Linux (just skip the bit about fink and Xcode), and other versions of OS X.