Fascia are whitish bands or sheets of connective tissue - mainly composed of collagen and fat, which stabilise, enclose, and separate muscles and other internal organs.

An exact definition has been much disputed over the years. Aside from 'compartmentalising' the various organs etc, its functions are poorly described and not well understood.

It's recently been discovered to contain large numbers of sensory nerve fibres, and there are suggestions that it may play a (strong?) role in providing a sense of 'proprioception' - i.e. real-time sensing of body positioning etc..

The fascia also feature large numbers of specialist cells called telocytes, the function of which (within the fascia) is currently unknown (ref.)

Fascia is virtually inseparable from all structures in the body and acts to create continuity amongst tissues to enhance function and support. In the past fascia has been difficult to study leading to ambiguities in nomenclature, which have only recently been addressed."

Technical details : J Can Chiropr Assoc. 2012 Sep; 56(3): 179–191.

See : Wikipedia for an overview.