A double reed is neccessary for playing bassoon or oboe. It's the part that you blow on to make the sound that is then carried throughout the instument. It is usually made of two pieces of bamboo that are tied together at the base, but I have seen some made of plastic.
Serious musicians make their own double reeds, but beginners and the like can just buy them from Ted Brown or other music store.
You must soak them before playing the instument, 'cus if you don't it's REALLY hard to sound good.
In order to play my bassoon, I must first soak my reed.