An air choke, also known as an ugly balun, is used to prevent RF current from flowing down the outer conductor (shield) of your coax and back into your shack. This is useful both from a safety perspective, and a practical one. If your coax is not properly isolated, it may become part of your antenna system, which could affect the performance of the antenna. If you have RF current flowing back into your shack, you could end up with harmful interference.
The only materials you really need are about 20 feet of coax for the winding, a form to wind the coax on, and whatever connectors you want to use to attach the choke.
More information can be found here: http://www.hamuniverse.com/balun.html
Building an air choke is easy and inexpensive. Watch the following video on how I built mine.