Strictly speaking, air is mostly nitrogen--about seventy-eight percent, and about twenty-one percent oxygen, which leaves about one percent of other stuff, like water vapor and carbon dioxide. We normally think of air as just empty space.
If you ever condensed a gallon of air into a solid, you'd end up with a little over one tenth of one percent of the air's original volume. The reason we don't notice all this emptiness is because air molecules are constantly moving around at the speed of sound, and bouncing against any surface that happens to fall in their path. We're constantly bombarded by air molecules. The force these air molecules exert is what we measure when we measure air pressure.