The nozzle is basically a small metal object with a small hole for the melted filament to pass through. They are interchangeable and also come in various sizes for various requirements. The 0.4 mm nozzle is the normal size. The user can use a smaller nozzle for accurate and finer details or a larger on to print faster.
There is a likely chance of the nozzle getting clogged and is a common issues faced while 3D printing.