Almost every fantasy wizard needs a spellbook. It is where he keeps all of his arcane knowledge written down (AD&D wizards really need spellbooks, because of their nasty habit of forgetting spells after they cast them).
The classic spellbook is a huge dusty book filled with arcane symbols. But spellbooks can be anything from a stack of clay tablets, to a PDA (in a science fantasy RPG). They usually have a few things in common though. They are almost always of very high quality, usually costing much more than an off the shelf blank book. They are usually personal to the wizard (even if High Mage Fruan does steal nates spellbook, he won't be able to understand it). The only exception to this is in the case of masters and apprentices, they can always read each other's spellbooks, as the master teaches the apprentice the same magical writing that he uses.
Most wizards will guard their spellbook with their life, as they are almost powerless without it (and it can take years to make a new one). Captured spellbooks can sometimes be copied using a Read Magic spell, but this is far from a sure thing.