F# is primarily a research project being developed by Microsoft Research. It is a functional programming language built on the Common Language Runtime (CLR) and heavily inspired by OCaml. The list of differences between the two languages is actually quite brief.
F# was first announced by Don Syme in 2005. Since then it has been a major inspiration for mainstream .NET languages, providing much of the groundwork for the LINQ project. F# can also claim to be the first .NET language to support generics.
Two years after its release, it has already made significant progress towards becoming more than just another research project. One of its most noteworthy achievements is that it was used by the DOE Joint Genome Institute to create Darren Platt calls "the fastest genome assembly viewer I've ever seen".
On the lighter side, F# can be used to create games for the XBox 360 using the XNA Game Studio. This is feat that mainstream .NET languages like Visual Basic and IronPython cannot claim.
Extensions for Visual Studio have been available for nearly a year now, which is impressive considering that one of the original .NET languages, JScript.NET, still doesn't have VS support and likely never will.
Don Syme is currently offering sample chapters of his book, Expert F#. His book, along with Robert Pickering's Foundations of F# were picked up by Apress for release this year.