Sherry is a fortified wine made in the Jerez region of Spain. It is made by fortifying wine with brandy. The brandy is added after fermentation is complete (the sugars have been consumed by the yeast). Because of this, all sherry is initially dry. This is different than sherry's cousin port, which is fortified halfway through the fermentation process, stopping the process and retaining some of the residual sugars.
Sherry has been around since the 700's A.D. It was at this time that the Moors introduced distillation to Spain. It grew in popularity until it was regarded as an equal to any other European wine by the 16th Century.
Because of the stabilizing effects of the added alcohol, sherry will keep for a long time. This made it popular to take on ocean voyages of the time. It would keep (more or less) for years in varying temperatures as the sailing ships plodded around the world. Magellan spent more money on sherry than on weapons for his circumnavigation voyage in 1519.
Sherry has a reputation of being less approachable than other wines, and this is a shame. You will find aromas and flavors in sherry that are quite different than other wines. These experiences are well worth pursuing.
Here is a list of the different types of sherry. Use this to zero in on the styles that suit you.
Most sherry in American liquor stores is cheap, listless, and should only be used for cooking. If you want to drink sherry, avoid the cooking sherry (usually $4 to $8 a bottle) and seek out the better stuff (usually $10+ bottle).
Store sherry bottles upright in a cool, dark place free of vibration. A good sherry can be stored with way for up to 3 or 4 years. Once opened, if at all possible, sherry should be drunk within a day or so (especially the more delicate varieties). If you need to store an open bottle, cork it and store it in the refrigerator. The more robust varieties can last several weeks.