I think above knowing how it is created and knowing its affects, it is not known what its made out of, i don't think, don't take that as fact... its kinda like gravity, but there is more theoretical stuff on what gravity is made out of... but we don't know how to make gravity so...
of referenced from Wikipedia: http://en.wikipedia.org/wiki/Electromagnetism
Electromagnetism is the physics of the electromagnetic field, a field which exerts a force on particles with the property of electric charge and which is reciprocally affected by the presence and motion of such particles.
A changing magnetic field produces an electric field (this is the phenomenon of electromagnetic induction, the basis of operation for electrical generators, induction motors, and transformers). Similarly, a changing electric field generates a magnetic field. Because of this interdependence of the electric and magnetic fields, it makes sense to consider them as a single coherent entity - the electromagnetic field.
The magnetic field is produced by the motion of electric charges, i.e., electric current. The magnetic field causes the magnetic force associated with magnets.