A ghazal is a traditional form of Persian Poetry typically written by mystics in the 13th through 16th centuries. It became popularized in the western world by Goethe in the 19th century.
The ghazal is composed of five of more couplets whose themes typically deal with unattainable love or Islamic mysticism. There have been a whole slew of famous ghazal poets, including Ghalib and Zaug; although challenging, the Ghazal is a beautiful form of poetry that juxtaposes conflicting ideas such as the desire for a woman or the material world with the love of the divine or spiritual world.
Before you begin writing a ghazal you should decide upon a topic. As I mentioned before, the ghazal works perfectly with two opposing ideas but this is not necessary. Traditionally, ghazals have been written about unrequited or unattainable love or mysticism, and have also been written about a love of wine or nature.
After you have decided upon a topic you must decide on a radif (a word or group of words that ends every verse). It is important the radif be versatile and flexible so you aren't stuck using it in the same way in every verse. For example the radif could be "tonight" in which you would rhyme the first line of every couplet to "tonight" and end every verse with the word "tonight".
Then consider the qaafiya, a rhyme that precedes the radif in the verse. Keep in mind that the qaafiya should still be versatile enough that you can flexibly use it throughout the ghazal. The great Sufi mystic Rumi wrote "if once heavenly abundance you rise/Desperation and impotence is unwise," - in this example, abundance and impotence are the qaafiya that comes before the radif (the radif being unwise).
Keep in mind that the ghazal is made up of couplets which together act as a poem in itself so you don't have to worry about a narrative progression throughout the poem. In fact, the couplets need not have anything to do with each other at all! Typically, the writer of the ghazal will also include his pen name in the last couplet (in an often tongue-in-cheek manner) although it is not necessary.
For more information on ghazals, try reading the works of Mizra Ghalib and the great mystic Rumi or just browse your library's poetry section - typically with Iranian, Persian, Arabian and Urdu poets, although there have been plenty of English ghazals written in past few hundred years.