Grip tape comes in many varieties, the most common being a sheet that is black on the grippy side of the grip tape. The bottom of the sheet of grip tape will peal off, revealing a very sticky underside that will stick to the top of the deck. Grip tape isn't always black, however - grip tape can be bought in any color, or transparent and even camouflage.
The sandpaper feel of grip tape is made with various materials, depending on the company that made it. Some black grip tape companies use silicon carbide - a very hard material that stays sharp for a good long time. Other companies use aluminum oxide, which is cheaper but looses its edge and grippyness quickly. Some black grip tape and most colored grip tape is made with this cheaper material. Usually, if you want colored grip tape, the trade off is that the board won't stick to your feet as well.
Read How to Apply Grip tape to a Skateboard Deck to learn how to put your own grip tape on your skateboard.