Well if it's a midi controller you have a few options. Basically they all fall in the "external sound generator module" category, basically synths and samplers.
A synth generates and modifies a base 'wave' signal to create instrument sounds and more electronica sounding stuff. The more powerfull the synth the better quality the sound and the wider variety of tweakability you will have.
A sampler is basically a recording of notes. There are many different ways in which they work, some only record a note for each octave and transpose those notes up and down to complete the whole sound range. More advanced ones record each note at different volumes and playing styles and incorporate post processing to create professional quality sounds.
The line is somewhat blurry, since a synth uses base waves(usually generated samples) to modify it to a great extent, and samplers focus more on having better quality samples and focus less on modifying the sounds. Synths need less memory but more processing power, samplers need more memory but more processing power.
Probably more than you need to know. Anyway, usually high end keyboards like workstations comes with both, although in modern use "sampler" means more the ability the record your own samples as opposed to the sound samples that already ship with the keyboard.
I generally refer to these things as 'sound modules'. You can find them in keyboards(duh

), computers(with the proper software, although there might be slight delays when playing depending on your pc) and rack modules(usually, the sound modules in keyboards but without a keyboard attached).
They come in various colours and sizes(metaphorically), and I don't know that much about them, so it's better to ask others on the forums.