RDX is an acronym for Royal Demolition eXplosive. It is the common name in the UK for the explosive cyclotrimethylenetrinitramine. RDX is a fairly insensitive high-order explosive, with a VoD (Velocity of Detonation) of over 8000 m/s at maximum density. It is almost never used alone because of the difficulty getting it to max density for best performance, but is used in mining, demolitions, and by the military in many composite explosives, including the US Army's composition A (granulated RDX and a wax binder), B (castable 50:50 RDX and TNT), and C (RDX and inert plasticiser 91:9). RDX also finds use as the base charge in blasting caps, initiated by a mixture of lead azide and lead styphnate. It is, contrary to what the misinformed definer earlier stated, not easier to manufacture than TNT and trinitrophenol; it is simply cheaper to manufacture, requiring only paraformaldehyde, ammonium nitrate, and acetic anhydride to produce, rather than large volumes of nitric and sulfuric acids. An alternate route using anhydrous nitric acid to destructively nitrate hexamethylenetetramine is favored by clandestine chemists because of the difficulty, at least in the USA, of obtaining acetic anhydride. It is also cheaper to produce here than TNT and TNP, though it requires much better temperature control and takes quite a bit more work than the aforementioned compounds to synthesize in the home lab.
RDX is much too expensive and difficult to produce to be practical for clandestine explosives production, except as the base charge in initiators. A better choice would be cheap ammonium nitrate mixtures, such as ANFO or ANNM.