Cryptids is the collective name for mythical animals such as Bigfoot or the Loch Ness Monster. Cryptozoology is the study of these creatures. In truth a cryptid doesn't have to be supernatural, mythical, or even all that weird. As such the term can be applied to the study of plausible but unknown animals or known animals that may not match any other known species.
For most people, however, the term usually refers to the stranger things (heh). There has been no reliable evidence for the existence of these more weirder creatures, so they remain in the realm of mythology. Science is discovering new species all the time, but compared to monsters and other mythological beings they tend to be very boring.