I know...because, I collect them(see link to website below).
A cel is a piece of clear acetate(similiar to the sheets they use for overhead projectors, but generally of a higher quality) that is used to make a anything animated(well, before the days of CG). An image is painted on the back side of the acetate and the image is done in reverse so that it will project itself correctly on the front.
Most cels consist of the acetate layer(s), cel douga(sketches - both rough and finished) and ocassionally, a timesheet which would tell the photographer how long to use each background, and so on. Cel Douga, which is more widely availble now especially due to the CG animes(ie. Naruto, Full Metal Alchemist) also contain paint notes which are generally, but not always, written in Japanese. These aide the paint groups in telling them what colors to paint each character and who each character is.
Each cel is generally used for 1/8th of a minute. In animes, backgrounds are generally used for a minimum of 10 cels, so obtaining an original background can be difficult(and yes, there is a market for cel backgrounds..see my gallery!). The numbering of cels starts at A1 and continues until the sequence is down. In transformation/attack and BANK(those used repeatedly in a show) cels, like those used in Sailormoon, a minimum of 170 different cels will be used.
Some cels, however, do featured multiple layers(the most I've seen is 5 layers). Adding layers gives a cel dimension, and the character closest to the viewer is generally the A1 layer. The second layer will be B1 layer, and so on. A cel that is drawn by someone who has over 10 years animating is called KEY cel and is generally a cel from an important scene, etc. KEY cels generally tend to be pricey, especially when they come with original matching backgrounds, douga, etc. Some Key cels tend to be reused with different layers throughout a sequence. An END cel is a cel that is the final cel in a sequence, and these cels, similar to KEY cels, will be reused with different layers. For example, if one character moves around while the one in the background doesn, the one in the background will be an 'END' cel while the character moving around will have multiple cels with different cel numbers.
As most animes since 2000 have been done with computers instead of handmade graphics, the only artwork you can now find are backgrounds and cel douga. However, many animes, such as Naruto, have produced an item called "rilezu", which are basically anime cels but produced in quantites less than 10. There is a substantial market for rilezu(because most collectors like the color) and because you generally have to enter a lottery to win the chance to purchase one of these items.
Cel collecting is a very expensive and addicting hobby, but well worth it in my opinion.