Prana is vital energy, the power of life; the essential substrate of all forms of energy. It is like the wind, in that it cannot be seen, but we know it is there; we can sense it by how we feel, for instance after a yoga class, or during a pranayama session.
Some people may experience prana as a feeling of wellbeing, like feeling the warm sun on your face. Others experience prana in different ways, possibly as a bright, white light, an impression of something flowing, a tingly sensation or a warm feeling.
In Sanskrit, pra means first, na means vibration, and an means to breath.
Prana is the fundamental vibratory life force, and is apparent through awareness of the breath.
Eknath Easwaran poetically describes Prana here in this translation of the Prashna Upanishad:
Prana burns as fire;
He shrines as the sun;
He rains as the cloud;
He blows as the wind;
He crashes as thunder in the sky.
He is earth;
He has form and no form;
Prana is immortality.
Everything rests in Prana, as spokes rest in the hub of a wheel
Prana is the force which exists in all things…
although closely related to the air we breathe;
it is more subtle than air or oxygen