If you're reading Newton, it won't be long before you come across his quote, "...I leave it to the reader to speculate as to the mechanism by which this force is propogated...", (or words to that effect; I'm pretty sure I messed up the wording there).
It was Einstein who later took him up on that statement, and tried to figure out what gravity is "made of." He's the one who proposed that gravity is not, in fact, a force, but rather a condition of the geometry of spacetime. That's where we get the picture of curved space that we all know and love today. This model, which envisions space as something that can be curved or dented by the presence of mass, works pretty well, and makes accurate predictions in the exact areas where Newton's "force" model does not.
Of course, this begs the question, "why does space curve or dent in the presence of mass?". That's one for which we don't yet have even a decent geuss, but then we don't exeactly know why mater has mass, to begin with. Maybe if the LHC produces the Higgs Boson, we can get some ideas by observing it. Mass and gravity seem to be directly linked, so if we egt a better udnerstanding of the particle responsible for mass, it stands to reason we might get a better understanding of gravity.
