Agender describes a person with no gender identity. It means that someone does not feel like they fall under any gender. "A-" is a prefix that means 'no' or 'none.' An agender person feels like as if they are neither a male nor a female.
Agender is also referred to as "genderless", "genderqueer", or "ungendered". Some people who identify themselves as agender may also identify themselves as transgender. However, some don't, as some feel this implies that they identify as a gender other than their assigned gender at birth, and prefers to stick with "agender." Agender may be seen as a non-binary gender, or as a statement of not having a gender identity at all.
Some Agender people more also (but not necessarily) experience gender dysphoria if they are unable to express their identity as something they're comfortable with.
A majority of agender people prefer "they/them" as their pronouns, however, some agender people prefer unique pronouns such as "Xe/Xer" or "Ze/Zem". Some agender people wish to change their bodies to feel more comfortable, while other don't and prefer to stick with the body they already have.