A seemingly simple question. It's what a hot or cold body--any body, for that matter--has. And, the perfectly valid answer. But, Nature, as we have learnt over the course of humanity's scientific discoveries, is like an onion without a core, it's layers all the way. So, after we peel the question what-is-heat another layer reveals itself. Now, things get a little interesting and a little misty. Macroscopic properties. That's the new layer. Shape is an macroscopic property. Sound is another. These are things we perceive which are caused by a collection of stuff. Shape is caused by a lot of little bits sticking together in a certain manner. Sound is caused by a lot of molecules collectively knocking on our ear drums. As you have guessed already, Heat is another macroscopic property. So how is it caused? Before we peel this, we've got to limit the scope of our question otherwise madness will ensue. Let's limit the heat we are talking about to our sensory experience--what we feel when we touch (and not think of all that which can be measured by our instruments).
When we touch something hot, say, the fire of a candle, the molecules in our finger starts to jiggle and go berserk. No surprise there. It has just received a ginormous jolt of energy when it least expected. Consequently, it's pulling its hair out and is going mad. It wants to escape the clutches of sanity and civil society (and the bloody hothouse). The nerve endings detect this havoc and send SOS signals in a hurry. A quick reflex action is initiated to get the damn finger out of fire, then the brain splits into two and has domestic arguments (this can be detected by measuring the decoherence of sounds escaping the mouth). Ah, the joys of heat.
That's all I wanted to say about heat. All this chatter was just a preamble to the more juicy and learned discourse about gravity, and the very foundation of physical laws. Physicist Erik Verlinde (he caused a sensation recently with his paper) explains why he considers Gravity to be a macroscopic property.
Enjoy your weekend. Next week, I shall post something from beloved India where I shall become an accidental expert in all things hot (India is at the equator, it is now summer there).