Gunpowder is an item dropped by creepers. It can only be used to make TNT.
Gunpowder can currently only be obtained from Creepers. Once killed they may 0-2 Gunpowder. A Creeper has to be killed for it to drop the Gunpowder; if the Creeper explodes, then nothing will be dropped. This can make Gunpowder hard to obtain. Since Update 0.9.0 you may find them in chests from a dungeon.