space time - What is gravity really?

I can attempt to address the second part of your initial question: "Is it a particle, a wave,...?" Einstein's theory of general relativity states that mass and energy bend space-time. Space-time, in turn, tells matter how to move (John Wheeler put this more elegantly).

This concept is completely different from the theories of the other three fundamental forces (electromagnetism, and the strong and weak nuclear forces). In these quantum theories, forces are mediated by particles called gauge bosons. Electromagnetism is carried by photons, the strong nuclear force by gluons, and the weak nuclear force by W+, W-, and Z bosons. There have been many attempts to find a quantum theory of gravity - that is, to use quantum principles to construct a field theory of gravity. In these theories, gravity would indeed be mediated by a particle, dubbed the graviton. String theory is one example of these theories; the physics community is divided about it.

You probably have heard other terms tossed around that embody interesting concepts. A gravitational wave is essentially a ripple in space-time emitted by an object or system of objects. There are strict restrictions over what sort of objects can emit these waves; binary neutron stars are one consistently cited example. These waves should not be confused with the aforesaid hypothesized gravitons; while gravitational waves carry energy, they do not "mediate" gravity.

Finally, I have heard the term gravity wave used in a completely different context. I can't describe it as well as the other concepts, but I believe it is used to refer to an effect of gravity on other substances. I would advise looking for an answer to that in a textbook. At any rate, it is unrelated to a gravitational wave.

So, basically, the predominant view in the physics community is that general relativity is the best description of gravity; at the moment, gravity is considered to be the bending of space-time, so it is indeed "something else entirely." Many theories of quantum gravity, including string theory, however, attempt to create particles called gravitons as force-carrying bosons. If evidence is found relating to these theories, then we may well learn whether or not gravitons do exist. One more thing about waves: Because of the quantum concept of wave-particle duality, any particle can be described as a wave, which has a wave function. So if gravity is due to a particle, then it is also due to a wave!