A cleaning rod is simply a long thin piece of metal, usually with a handle, which is used to push and pull patches and brushes through the barrel of the gun. Some milsurps come with their own cleaning rods, but in general they should be avoided like anti-gun rallies because they're made of steel, which can easily damage the barrel. Instead, more people recommend the use of brass cleaning rods because they're made of a softer metal than that which they will be cleaning - it's infinitely more preferable to do a little damage to your cleaning rod than your gun! Some companies offer composite cleaning rods which are generally one-piece and therefore are less portable than their brass counterparts. They are usually stiffer though, so they may be a viable option if you like to clean your guns at home.
Most cleaning rods (with the exception of pistol rods) come in three pieces which may be screwed together to form the full-length rod. Note that you can usually only screw brushes or patch-loops into the end-piece, so if you're only going to use one extension piece and the handle, make sure you're using the extension with the correct threaded socket at the end for your attachments.
-- AdamSmith - 26 Feb 2006