A box-like shape which is made by from twisting a loop of string around their fingers. It is usually played by two players, although some variations may be played by one.
This is a popular pastime for children throughout the world. The origin of the phrase or of the game aren't known, but both are certainly quite old. The first reference to the phrase is in Abraham Tucker's The light of nature pursued, 1768:
"An ingenious play they call cat's cradle; one ties the two ends of a packthread together, and then winds it about his fingers, another with both hands takes it off perhaps in the shape of a gridiron, the first takes it from him again in another form, and so on alternately changing the packthread into a multitude of figures whose names I forget, it being so many years since I played at it myself."