A zafu, a Japanese "sewn seat", is a round sitting cushion used for zazen (seated Zen meditation), generally around 20cm tall by 30cm diameter. A zafu can be filled with buckwheat hulls or, for a softer, lighter cushion, kapok, which is the seed pod of the kapok tree. (What the kapok tree is is a mystery to me.) A zafu is generally used in conjunction with a zabuton mat, which is set beneath the zafu to provide a soft surface for one's legs to rest on. A zafu will generally cost $35-50, or you can find instructions on how to sew your own at http://www.geocities.com/nozendo/Cushion/cushion.html. Zafu are generally black, but can be obtained in a variety of colors.
The zafu is designed to facilitate proper posture in an "autonomous" sitting position, that is, one where the back is not externally supported. Most sitting positions involving a zafu tilt the pelvis slightly forward, which encourages proper positioning of the spine. In simpler terms, a zafu is a small seat without a back that you set on the floor, which is extraordinarily comfortable and makes you feel really good.
The zafu provides a great variety of possible sitting positions for meditation. Probably the most traditional, as well as ideal, would be the full lotus position, where one would sit relatively low and forward on the zafu. The half lotus position is also possible, but one would generally sit a bit higher on the cushion. The "Burmese Position" is another possibility, which is similar to a cross-legged position, but with one leg slightly forward of the other so that the legs do not stack. One may also simply sit cross-legged, though one may tend to experience pain or numbness in the legs as a result of this position. Another possibility is the kneeling "seiza position", which involves placing the zafu on its side between the heels, kneeling and sitting back, and resting the body weight on the zafu cushion.
Recently, mutant zafu intended especially for sitting cross-legged have been developed. These cushions are crescent- or kidney-shaped, and are generally marketed as an "ergonomic zafu", though I have also seen them called a "Smile Cushion". I have not sat in such a zafu.
While intended and ideal for meditation, a zafu can be used for general sitting purposes. A cross-legged position can be maintained for a considerable period of time on a zafu, and most any position where your bum rests on the cushion and your knees rest on the floor makes your spine feel really really good. The first time I sat on a zafu, at the Saturday Market in Portland, I quickly became relaxed. Enthralled with the comfort of the cushion, I just had to get one. My black zafu came overstuffed with buckwheat hulls; the extra hulls can be extracted and saved to refill the cushion as the hulls compress. I have used my zafu not only as a brilliant sitting device, but also as a small table, for me to set my laptop on when I want to use it while sitting on the floor.