Basically it is energy that comes out, but in 3 different forms - alpha, beta and gamma rays. When they were discovered, nobody knew what they were.
Alpha rays are actually heavy, fast-moving particles with a positive charge.
They only travel a few centimetres in air and are stopped by a sheet of paper. They are very good at making air conduct electricity. They turn out to be the nuclei of helium atoms . Beta rays are also particles, but very much lighter and faster moving than alpha-paricles. They can travel through a metre or so of air, but are stopped by a few millimetres of aluminium.