Rain is water droplets falling from a cloud. It is part of the Water Cycle.

When moisture evaporates from oceans it is carried into the sky by air currents. The higher it goes, the colder the air becomes. Air can hold more moisture when it is warm, and when it cools, it quickly becomes saturated with water. At this point some water turns from moisture (a gas) to liquid droplets. Usually this doesn't just happen in 'thin air'. In the air, along with moisture, there are all kinds of things, such as tiny salt particles from the ocean, and bits of dust from land. So, rather as moisture condenses on a can of cold drink placed in a warm room, so moisture in the air condenses onto the cold salt and dust.

The longer this happens, the bigger the droplets of water become. They are held up in the sky because the air currents are still rising (think of how you could make bits of paper rise over a hair drier blowing a strong current of air). But eventually the drops become too big and heavy for the air to support them, and they fall out of the sky and make rain.

You find rain falling as showers with some summer clouds (the 'cotton-wool' ones known as Cumulus) and also where cold and warm air meet in a region that weather forecasters call a 'Low Pressure'. You can see rain forming in mountains in the video below.