ColdFusion is a server-side scripting language like ASP or PHP, as well as a server technology. CF is built on J2EE so it is accessible for Java programmers. ColdFusion is generally referred to as the actual server that parses the code when someone requests a file with a .cfm extension; CFML is the scripting language that the CF server parses server-side. CF was developed by Allaire, which was later purchased by Macromedia, which was then purchased by Adobe. ColdFusion was the original web, server-side scripting language, which Microsoft tried to buy out at one point. When the Allaiire brothers refused, MS bough Aspect Technologies and developed ASP. ColdFusion is tag based like HTML so anyone who is familiar with HTML can easily figure it out. It can run on Windows, Linux, Mac and Solaris.
Despite the myths, ColdFusion is free; In order to develop in ColdFusion, you just download their developer edition from the http://www.adobe.com/products/coldfusion-family.html site so you can test code locally and then upload to the server; the developer version will allow 2 other IPs to access your server, so if you want to put your development version on your LAN to allow others to work with you, or put your server on the net and let a client look at your work via IP, you can.
I however upload mine to a subfolder on my domain for development and then upload to the live server when the development is complete (its also nice as I will not upload to their live hosting account until I get paid). If you want to host CF sites on your server then yes, ColdFusion is expensive and runs about 1200 for the Standard version and the Enterprise version costs more (something like 10k), but that version allows for high-end clustering and is what hosting companies run. Generally, I test locally with the developer version then upload the site to a host who is running ColdFusion. I use CrystalTech and pay about 16.95 a month for hosting but there are other sites out there as well like HostMySite.
ColdFusion is one of the more straightforward programming languages I found when I was getting into programming, since I was comfortable with HTML and both are tag based. Adobe just released ColdFusion 8, which seems to execute code much faster than previous versions and has integration with PDF to generate PDF files on the fly. It also shows Adobe is committed to the language and the server. It also integrates with Flex, which uses a similar tag based language to create REALLY cool RIA's. This is a Flex shopping cart that really shows what is possible and CF works natively with Flex.
Flex Shopping Cart
All the CF tags start with a CF before the function <cfoutput>#MyVariable#</cfoutput>. The CFQUERY tag is what you wrap around your SQL statements to make calls to the server. <cfquery name="MyQuery">SELECT * FROM Products ORDER BY ProductName </cfquery>. Therefore, if you did <cfoutput query="MyQuery">#DatabaseData#</cfoutput>, that would loop as long as needed, based on the query. If you are looking for a good starting book, Ben Forta's "Web Application Construction Kit" is a great place to start.
While many have called it a dead language for a long time, I am perfectly happy coding with it and with Adobe's new release, and feel it is not a dead language. There seems to be less code to write which allows me to develop and debug apps faster. Also, if you are interested in Flash, CF handles it very well through Flash Remoting.
And to the person who said there are no sites that use ColdFusion, I have BofA as a bank and their site is built on ColdFusion, as I believe the US Sentate web site is. Its very much like the Mac / PC argument; it really just matters what you are comfortable coding in. I was never comfortable with ASP or PHP, although any good developer should have multiple languages under his belt. All the companies that use CF are listed at the following URL's.
SysteManage List of CF Sites
Adobe - ColdFusion Customers
Just my 2 cents.