3. They form from the remnants of massive exploding stars
When a big star (and by big I mean many, many times larger than the size of our sun) dies, it explodes violently in a supernova. The star's core is left to collapse in on itself, and if that core is massive enough, there will be nothing to stop it from collapsing into a spot of infinite density. And that, kids, is how black holes are born.