A drain plug is a plug which seals a drain partially or completely, usually held in place by friction or by virtue of threads.
The most commonly found type of drain plug is those used in sinks, known as a stopper. The simplest form is generally made of rubber (or a flexible plastic, or silicone) and is simply molded in shape.
Another type of drain plug is that typically found on automobiles. These typically have a small hole in them to allow moisture to drain out the bottom, but not allow water to splash up through them, nor any significant moisture to be taken in due to ambient humidity. They are most commonly found in the rear of a car near the quarter panels, as the area between the rear of the quarter panel and the wheel house is typically sealed. Over time that area tends to fill up with dirt and assorted trash which must be cleaned out manually or it will clog the drain plug, potentially leading to interior rust and a general sogginess of your vehicle.
Other drain plugs, such as those used on the oil pan, transmission, or differential of a car, are threaded and typically feature either a "hex" head (six-sided) or an inset hex-driven head which is turned with a hex socket or a hex key (also known as an allen wrench.) These often have a magnet attached to their inside end so that they will pick up metal shavings so that an oil filter or catch basket will not have to.