The Bucket is a vanilla tool used to collect Liquids. When you right-click a source block of liquid (water, lava or oil for instance) with a bucket in your hand, you will get that bucket filled with the substance that you clicked on. It can also be used to obtain milk from cows or mooshrooms. It is used in some crafting recipes.
The bucket can be used to carry almost any liquid. It can be used to place source blocks of water, lava and oil in the world. A milk bucket can be consumed, providing healing effects.