Suet is fat: The hard fatty tissues around the kidneys of cattle and sheep, used in cooking and for making tallow.
Yuck. You can get suet cakes for bird feeders...The birds especially like it in winter because it keeps them warm -- maybe because it gives them a bit of a fat layer? Bird stores sell it stuck with pine nuts, etc.
It's also in Scottish "haggis", which is definitely an acquired taste, I'm sure:
A Scottish dish consisting of a mixture of the minced heart, lungs, and liver of a sheep or calf mixed with suet, onions, oatmeal, and seasonings and boiled in the stomach of the slaughtered animal.
For cooking, I'm not sure you could get it here. Ask your butcher if he has some or could get you some. Or you could substitute with another solid fat, maybe??
Found the answer: http://www.ochef.com/657.htm