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Air is stuff: it is made up of atoms of oxygen and nitrogen, which get in the way of things moving though. 

When you swim in a pool, you can feel the resistance of the water. When you're walking around on Earth, you are affected by the resistance of air. You really notice this when you run fast, as you feel the 'wind in your hair', and know that you're forcing molecules out of the way.

This is what we call air resistance, or drag. Drag slows down planes as they fly through the air, which is why they need to be a special shape, so as to feel less of this resistance. 

Drag can be good though - parachutes use this drag to slow down falling objects, saving lives in the process.