In Eve-Online you are immortal, in a sense. Now I don't want to go too much into the philosophy of it (surely when you're dead, you're dead?) but in Eve part part of the reason that entering that most dangerous of professions, pod pilot, is so popular is that you become effectively immortal. This is because we have access to clones.
There are two types of clone (or rather two uses of a clone since they use the same technology):
Medical Clones are imprinted with a subconscious link to you so that when you die your consciousness merely snaps back to your clone, often on the other side of the galaxy. They have to be updated regularly or you will lose 10% of your memories (skillpoints) when this happens.
Go to a medical bay (in a station that has one, not all do) and ensure that your clone is up to date right now if you haven't done so already. There's one at our HQ in Vellaine, for instance. The default clone stores only 900k sp so buy yourself the next one up from your current skillpoints, or two up if you are training fast. You also have the choice to move your medical clone to somewhere more convenient, once created.
Note that your clone is a physically separate creation from you, this is not teleportation, so any implants you had in will be lost. Medical clones are a pod pilot's incentive to do the job, so they are available to anyone, no matter what your standings.
Jump clones are used for deliberate moving around between clones. Again the actual technology is the same but since this is purely for convenience there are more restrictions attached, so they are generally referred to by the different name. Train infomorph psychology to be able to use a jump clone and you will have the skill needed to jump your mind from one clone to another. Since this takes a lot out of you psychologically it can only be performed once every 24 hours.
Again, your clone is physically separate to you so any implants you had at the time will be left behind (not lost, as your old body stays where it was). Some people use jump clones for this very reason, to leave behind expensive implants when they are about to do something dangerous. Others just use them to effectively teleport themselves between two widely separate bases of operations.
Training needs to be suspended, and of course you need to be at a clone bay to perform this, so most times that means you need to be in a station (some very large ships have clone bays but I wouldn't worry about that for now). You also need to not have a medical clone at the same station, as resources are limited and even the most patient of station managers won't dedicate two bays to the same pilot (if you attempt to have two clones at the same station one will be destroyed to make room). Jump clones are created at stations with medical bays but by flying them around you can have one wherever you like, there doesn't need to be a medical bay there to perform a jump.
Now for the bad news. Extra clone spaces are limited so station managers only allow space for them to their favourite pilots. That means you need a corp or faction standing of at least 8.0 with the corporation or faction owning the station to be able to create one. For many people this means that jump clones are out of reach for a good long while. However player-owned-station owners can set your standings at whatever level they wish, so you may be able to talk someone into letting you set one up. Try placing an Ad in the wanted forum, or having a look in the sell orders forum, as people sometimes offer this service for a fee, or join a corp with high standings already, or their own POS.