A tulpa is a creature created by the sheer willpower/belief/generic-energy of an individual or individuals.
Gonna have to expand on that, huh?
Think of it this way. If you're reading a book or watching a TV show where Santa Claus exists because all the little kids in the world think he exists, Santa Claus -in that work- is a tulpa. If a little kid has an imaginary friend (or perhaps a stuffed animal) that they swear up and down is alive, then things start to happen that would insinuate they're telling the truth, then it's probably a tulpa.
Loads of works play with this idea, from Discworld (where belief is actually a measurable force in the universe), to some of Charles de Lint's stuff, to (some would argue) real life.
For you TvTropers, this is basically YourMindMakesItReal, GodsNeedPrayerBadly, and ClapYourHandsIfYouBelieve. (Warning, TvTropes link. It WILL eat up about an hour of your time, at the very least).
It's an interesting concept that's been done a zillion times over, yet still remains pretty cool. Even gets a little shoutout in the Bible, if you're interested in that kind of thing.
So if you don't get anything from Santa this year, remember, it's your own damned fault for doubting the fat man.
See also: egrigor. Maybe golem, too.
Apparently, the word itself derives loosely from the Sanskrit word "to build" or "to create".