Stars are born in what is called the interstellar medium, which consists mostly of Hydrogen, and includes Helium, Nitrogen, Carbon, and Oxygen. An example of these clouds of gas is to the right.

As the clouds come together and atoms colide, a protostar forms. The core of this body has a temperature of about 50,000 degrees Kelvin, with a surface temperature of 2,000 - 3,000K. It lasts in this state for about 10 million years.

After about 100 million years, the surface temperature will reach 4,000K, and the core will rise to nearly 10 million degrees Kelvin. At this point, a star is formed in the common sense of the word, and it enters what is known as the main sequence of its lifecycle. This sequence is characterized by changes in the star's energy creation over a period of 10 billion years. The process moves as follows:  
At this point the star usually becomes a red giant, characterized by some of the highest temperatures and largest size of a star's lifecycle. It will reach nearly 160 million miles in diameter, with a critical core temperature of 100 million degrees Kelvin. The star to the right, known as Betelgeuse, is a red giant located in the Orion constellation. This is an x-ray image of the star.
After hundreds of millions of years more, the star may explode into a gaseous cloud known as a nova, or a larger cloud known as a supernova. A star with an extremely dense core (and therefore ultra-strong magnetic field) may actually collapse in upon itself. This becomes what we call a black hole, which is a point of extreme density and gravity. The gravity is so intense that not even light can escape (light has both wave and particle properties).