Ozone is a natural gas, most of which is found in the ozone layer several miles above the Earth. Ozone gas is formed when oxygen gas meets the Sun's ultraviolet rays (the rays that cause burning in the skin), and this process converts the sun's light to heat, neutralising the dangerous light. The ozone layer thus prevents most of the harmful rays from going below the stratosphere (the area about 6-30 miles above the Earth where most ozone is concentrated).

Since the 1970s scientists have been aware that human activity is damaging the layer, especially in some areas above the Arctic region. Man-made gases, mainly
those containing chlorine and bromine, such as the chlorofleurocarbons (CFCs) used in things like aerosols, interfere with the ozone formation process so that the Sun's ultraviolet rays come to Earth much more directly.

There is a good explanation of exactly how the ozone layer is formed here.