Tempeh originated in Indonesia and has just recently become a staple in vegan cuisine. Like tofu, it's a fermented soy product, but the main difference is that it uses whole beans. This gives it a very different flavor and texture.
Tempeh has an inherent bitterness to it that can be removed through marinating, boiling or steaming.
Where do I find Tempeh?
I've only once found Tempeh at a conventional grocery, so your best bet is a natural foods store. Look for it near the tofu.