Garam masala is a commonly used Indian spice blend that includes ground peppercorns, cloves, cinnamon, nutmeg, cardamom and bay leaf. Other spices such as cumin, coriander and fennel or caraway seed are often used as well. Garam masala can be added at either the beginning or end of a recipe.
Because of its popularity, there are actually many western spice brands that offer garam masala and it can frequently be found in western grocery stores. That said, you can always get it at an Indian market if you're having trouble finding some.
Funny story about garam masala: the first time I bought it, I staged a taste test between it and the generic "curry powder" I had gotten from a supermarket. The stuff labeled "curry powder" tasted a lot like the garam masala, only it seemed to be diluted with some kind of bland, flavorless, dusty-type substance. Since then, any time I've come across a recipe that calls for curry powder (which is not an actual Indian ingredient, by the way) I just substitute it with garam masala. I suppose you could also go the other route and substitute garam masala with a larger portion of curry powder if that's all you have on hand, but who knows what they put in that stuff?