Group of students at Hogwarts c. 1970-1978
Ringleaders: James Potter and Sirius Black
also included: Remus Lupin and Peter Pettigrew

The boys in this group were some of the most clever students attending Hogwarts at the time. They used their talents for, among other things, legendary feats of mischief. They created a map, called the Marauder's Map, which showed Hogwarts in every detail, including every passage and the location and movements of the denizens of the castle.

The nicknames for the four students came from their identities as Animagi. James transformed into a stag, hence the name Prongs. Sirius became a large dog (Padfoot) while Peter became a rat (Wormtail). Remus was not an Animagus; he was a werewolf; it was his monthly transformation into a wolf that earned him the nickname "Moony" and provided the impetus for the others to become Animagi.

Which House were they in?
Good question. We don't know the answer as yet, although it is fairly certain that James was in Gryffindor. It seems likely that for the four to be as close as they were, they would need to all be in the same House. Also, Lupin clearly favored Gryffindor when it came to Quidditch and Sirius apparently knew the layout of Gryffindor tower pretty well when he snuck in to find Scabbers on two occasions. None of this is conclusive, of course. 

NOTE: It is not likely that the group was actually known as "the Marauders." However, because the magical map of Hogwarts that they created was called The Marauder's Map, the name has caught on among fans. But since the name of the map is [Marauder's] (singular) and not [Marauders'] (plural), the name clearly does not refer to the group of map makers specifically. Some fans have begun to use the acronym MWPP to refer to the group instead.