It's a programming language. Can be quite (very?) difficult to get a handle on even if you have any kind of programming background, and possibly more so if you don't. But some people find they have an instinct for it. You can get a freeware, more esoteric version of it in the form of 'Pure Data.'
You can make music like Aphex Twin and Autechre without touching Max. A lot of people make the mistake thinking that some particular piece of software will magically create the effect of Autechre, especially. But Autechre sound like Autechre 'cos they're Autechre, and because of the musical choices they make. I've heard way too many terrible attempts at IDM on myspace where people tried to copy the external sound of Autechre, but their understanding of music was zilch and the results have been crap.
This isn't to say Max can't do a ton of interesting things.