Nitrous laughing gas nos juice. Whatever you call it, it is definately fun. Nitrous oxide is an oxidizer, and all fuels need an oxidizer to burn. For cars, this oxidizer is usually the oxygen in the atmoshpere. Using nitrous to replace some of the air your engine uses results in huge power gains because there is more oxygen available in nitrous than in air(nitrous is N2O, it is NOT NO2!)
Nitrous is held in a bottle under extreme pressure inside your car. It is introduced into the engine through tubing and the flow is controlled by one or more solenoid operated valves. These valve are in turn controlled by switches, one for the driver to enable to nitrous system, and another switch, typically activated at a preset engine speed that actually opens the valve. This is for saftey, nitrous at low engine speeds can cause severe damage to an engine very quickly, faster than you can turn it off. Used carefully and without greed, nitrous is very safe as far as mechanical wear on your engine is concerned, but get greedy and start turning it up and you'll get yourself in trouble very quickly. Nitrous is also an anasthetic and pure nitrous is not available to the layman. To get around this law, small amounts of sulphur are mixed with the nitrous used in cars to prevent people from inhaling it. The sulphur makes the gas very unpleasant, but is basically harmless(barring the possibility of suffocation or course) This is why the exhaust from cars smell so bad while using nitrous.
NOS(Nitrous Oxide Systems) and others make various kits, the easiest to install is a kit with a single fogger nozzle. A fogger is simply a nozzle that sprays fuel and nitrous. The amount of each is adjusted using jets in the nozzle, and thus adjusting the power gain from the nitrous system. Expect to pay $400-500 for a kit that includes a bottle, solenoids, lines, and whatnot. There are, however, a few hidden extra costs. Some type of engine speed activated switch is required to operate the valve, and it is reccomended that you upgrade your ignition system as well, which will run you around $200. Extra tanks are of course available if you need to replace yours or want a bigger one to extend fill up intervals. Any decent speed shop will sell nitrous, which costs roughly $4 per pound. Different jets are readily available as well. The jets are what controls how much nitrous goes into the engine. Nitrous works wonders on turbocharged cars. The rapidly expanding gas gets very, very cold and cools the intake charge down by huge amounts, as much as or even more than an intercooler alone could do.