MAssively Compact Halo Objects (MACHOs) are normal baryonic matter. This means big lumps of matter that isn't shining. Brown dwarves, black holes, neutron stars, planets escaped from a solar system, etc. We know they exist, but the numbers in which we know they exist are not sufficient to balance the books.
The major alternative is Weakly Interacting Massive Particles (WIMPs). This is the non-baryonic alternative. There's good reason to think they exist, both on the basis of particle physics and cosmological observations. The notion is that (like neutrinos) there are many of these passing through us all the time. Problem is that we can't detect them because the interactions with matter are so weak. There are experiments trying to get very sensitive detectors able to notice a passing WIMP; but so far... nothing.
Cheers -- Sylas