Fish sauce is to Thai, Vietnamese, and Filipino cuisine what soy sauce is to Chinese and salt is to western food. It's called nuoc mam in Vietnamese, and in Thai it's nam pla, literally fish liquid. In Filipino, patis; Burmese, ngan pya ye.
There is an odd convention of brand naming fish sauce which relies heavily on shellfish. My favourite brand is Three Crabs, but there's also Four Crabs, Three Lobsters, the popular Squid brand, and I don't know what else. A glance at the labels might lead you to erroneously assume that fish sauce is made from different types of shellfish, but this is not the case. It's made from anchovies which are fermented for several months to a year and then pressed to yield fish sauce. Which explains the smell.
In a now-vanished node, oknos referred the odour of fish sauce as "pungent", but I would not hesitate to call it stinky. If you've never smelled it before, you might be a bit horrified when you put your nose to bottle and take a big whiff. I have known people to decide then and there that they don't really want to cook Thai food after all. Never fear, though: this strong-smelling liquid blends in perfectly with Thai (or Vietnamese or Filipino) food and does not stand out as a distinct flavour at all. I can assure you that if you've ever had Thai food, it almost certainly contained fish sauce, even though your palate could not detect it; it's a staple in the cuisine.
Much like olive oil, the first pressing of fish sauce yields the highest quality product; it is purer in flavour and colour, and fetches the highest prices. Second and third pressings are correspondingly lower in quality and price. The highest quality fish sauces are generally used raw, for dips and sauces, while the lower quality ones are used for cooking.
To put this in perspective, a very good quality olive oil can cost hundreds of big american dollars, while the best fish sauce I can buy here in Toronto costs me five measly Canadian dollars. Which is why I throw caution to the winds and splurge on the expensive stuff for everyday use. Hey, I'm worth it, and you know what? I think you are too. Buy the expensive stuff. It tastes better.
What else can I tell you about this elixir of Thai cuisine? Don't refrigerate your fish sauce. Whatever can happen to this brew has already happened; it's not going to go bad. You can pass your half-empty bottle down as a family heirloom, and your grandchildren will enjoy the same golden liquid that you have on your shelf today. Besides, if you keep it in the fridge it often forms salt crystals at the bottom, and it's not supposed to do that. Keep it in the cupboard.
For vegetarians, try Golden Mountain Sauce as a substitute. It's closer in flavour to fish sauce than soy sauce, the other obvious choice.
And finally, to make that heavenly sauce that sits on every table in Thailand and is sprinkled liberally on almost every dish, mix a tablespoon or two of fish sauce with the juice of one lime and two or three small hot Thai chilis.