The Mandelbrot set is the set of all points c for which the sequence z'←z2+c starting at 0 is bounded.
Such a simple rule, such a complex object.
It's connected. It has a definite boundary, though of infinite length. It has a finite area. It's a fractal, meaning there is self-similarity and that you can zoom in forever. Literally and truly forever.
Here is an example zoom from the book Chaos and Fractals: New Frontiers of Science by Peitgen, Jürgens and Saupe:
Get a feel for it with James Henstridge's Renderer or David Eck's Renderer.
There are a zillion videos with deep zooming out there. I've selected a few for you. The first one is pretty long, but it is interesting because it "visits" 16 different areas of the set:
This one is pretty cool:
This one goes pretty fast:
Here's another fast one:
Here is one that zooms past the "x is six" message:
Spirals all the way down....
If you can't get enough of these, just search for more....
Wikipedia is the place to go next.
There are a couple of good television specials, too. Here is a NOVA documentary:
Here is an oldie presented by Arthur C. Clarke: