What is a Psyduck?
Psyduck, our hero

What Nintendo has to
 say about the matter

A Psyduck defeats its opponents by mesmerizing them with a piercing stare and unleashing a barrage of pent-up mental energy. These Water Pokémon are rare and are found in both the Red and Blue versions of the game. -The Official Website

Let me clarify...

A Psyduck, pictured above, is a Pokémon resembling a duck with psychic powers. Hence, "Psyduck." Unfortunately, if you do not know what a Psyduck is, you probably also don't know what a Pokémon is. This question is not easily answered. Basically, they are little monsters which people catch, train, and fight against one another. Though Pokémon do not normally fight in the wild, the ethical problem of forcing them to do so in captivity is beyond the scope of the simplistic games or T.V. show.

The unfortunate Psyduck has a constant headache. At one time I believed this to be a side-effect of its psychic powers, but further research has led me to the conclusion that it is, in fact, the other way around. In addition to its psychic powers, the Psyduck is also known to lure unsuspecting Pokémon into a false sense of security by means of its vacant stare. Or something like that.

Psyduck, like almost all Pokémon, can only speak its own name. Strangely, I have also heard him make quacking noises, which technically should not be possible. This, however, was not likely a one-time mistake by a sleep-deprived animator, since the Psyduck action figure also makes these quacking noises.

The Psyduck action figure can be found in most quality toy stores, generally much more cheaply and in greater quantity than the other Pokémon action figures.