Thermal radiation is the process of heat being transferred via light without a need for a medium.
All objects above absolute zero emit light this way and are constantly losing heat.
All matter is composed of charged particles (protons and electrons). Heat is just a measure of how much those particles are moving; if there is any motion, the object is above absolute zero. The movement of these charged particles causes them to emit photons, which radiate heat away from the object. For most objects in our daily life, this light is in the infrared range unless it gets very hot, which is why we don't see most objects glowing.
Just like how all matter emits electromagnetic radiation, all matter absorbs it to some degree as well. Which wavelengths it absorbs versus reflects depends on its colour, with black objects absorbing more light. In fact, a good absorber is also a good emitter, and a perfect absorber is called a "black body". True blackbodies don't exist in real life, but it's a good approximation for most objects.
Source: SpongeBob Squarepants, Nickelodeon.
We don't often see objects glowing because objects at room temperature emit lights in the IR spectrum. By using infrared cameras, we can "see" this radiation, and even use it to approximate the object's temperature using the fact that hot objects emit more light.
Unlike other forms of heat transfer, thermal radiation doesn't require a medium to work. This is why the sun's heat can travel through the vacuum of space and heat up the earth.
As objects get hotter, it starts to emit light in the visible spectrum. We see this type of behaviour in objects like incandescent light bulbs, lava, or even the sun.