According to our best understanding, gravity is not a substance, but can be best understood if we treat spacetime as a substance, and gravity as a curvature of that substance. You have probably heard of the "rubber sheet" analogy, in which gravity is described by picturing a heavy object (like a bowling ball) set on a rubber sheet. The sheet bends under the weight of the ball, and that curve represents gravity. But this is only a visualisation of something that can't truly be seen or even pictured in the mind. The surface of the sheet normally has only two dimensions, but is now curved in a third direction. Similarly, space normally can be treeted as having three dimensions, but the presence of a massive object curves space in a fourth direction. In this way it can be said that gravity is not "physically comprehensible" to us three dimensional beings, but we can make annalogies that come reasonably close.
Also, you can see from the above description that gravity is not a wave. However, it is predicted by GR (and some empiricle data is starting to come in) that it is possible to make waves in gravity (called "gravity waves"). To understand this, it might be best to picture that same bowling ball sitting on a waterbed, rather than a rubber sheet. If we bounce the ball, or move it rapidly back-and-forth, it will send waves across the bed. These waves will be curvatures of the bed surface, just like the "gravity" indentation that sarounded the ball, but they will be moving outward away from the ball. So the original gravity curve is not a wave nor is it made of waves, but it can make waves and the waves will be made of curves. Gravity is not a radiating force, but gravity waves radiate out from their source.
That help any?
