The Horadric Cube is a portable Ender Chest.

If the player is going through the main quest line, the Horadric Cube will first be encountered in the Chapter 1 quest "The Horadric Cube," when it is crafted by the Avalon citizen Velore. He crafts this item out of an emerald, redstone dust, gold ingot, and stone brick block. Of the first three ingredients, Velore says the following:
Redstone Lamp
"Emeralds are naturally imbued with magical essence.

The Redstone Dust allows us to properly channel the Emeralds' magical essence...

A Gold Ingot will infuse your Cube with trans-dimensional Properties."

If you lose your cube, you can buy another one from the Magic Shop located in your Guardians' Tome.