A sketch typically consists of a piece of paper, sharpie or pencil, and a series of concepts rapidly illustrated. It quickly records a likeness or idea without having to waste any time required on the specifics of a project. It can help move an idea through the approval process much faster than the build-out of an entire comp, while still representing a direction for next-steps.
During the sketch phase of a project it's not uncommon to have anywhere from one to a hundred sketches that may illustrate a range of ideas and possibilities.
A sketch can create an environment for visual exploration and refinement that a more finalized comp might not allow for, and as such a sketch should provide a safe space for trying out the "crazy" ideas.