Frisee is a curly-leafed salad vegetable (sometimes referred to as 'baby curly endive'). It is a close relative to Chicory or Endive (which, to add confusion are actually the same thing only with different names on different continents). The outside leaves of the frisee are very coarse and bitter, so they are generally discarded. Try to choose a head with many small baby leaves instead, as they are much milder.
Frisee greens can also be cooked and added to soup or other dishes.