My 6 year old came up to me and asked that today. I was at a loss of how to answer, so I told her to ask her father LOL.

How would you have explained it?

Here's the real answer. http://www.doctorhoffman.com/wax.htm

Is it a bad thing if my first thought was "yucky" haha. I actually do know what ear wax is as I had alot of ear infections and got to learn the intimacies of ears pretty well. Its definitely one of those mysteries when you are just a kid though.

To explain to a child I would say it's the ear producing a sticky substance that prevent things like flies and other things from crawling into your ears. So it acts as protection.