This is a Linux distribution (based on Debian) specially designed for security and penetration testing, digital forensics (available as a live boot option, without any changes ever written to the internal HDD and the auto-mounting of removable devices disabled) and similar purposes. Basically the same thing was previously known as BackTrack.

It is available as:

• an ISO (live DVD / USB or to be installed) for 32- and 64-bit platforms
• an ISO for ARM-based platforms
• a VMware image
• a VirtualBox image

There's also a project called Kali Linux NetHunter available for Android-based devices - namely the Nexus series and OnePlus One smartphone.