Cosmic dust is a general term for dust in space, which includes intergalactic dust, interstellar dust, and interplanetary dust. Dust leads to extinction, making observation of stars and other astronomical bodies more difficult, but is also observed both for itself and for the conclusions that can be drawn from reradiation and scattering.
Though termed dust, it can be orders-of-magnitude smaller than everyday dust: in the interstellar medium what are termed dust particles (or referred to as particles, or dust grains or grains) are a few molecules, though in the interplanetary medium, presumably all sizes particles exist, from micrometeoroids down. Essentially, once two molecules stick together, dust is the term used. They are presumed to have the opportunity to grow larger in molecular clouds, and clearly grow further in protoplanetary disks, a necessary stage in planet formation. In such disks, the term dust is used for that which gathers from the cloud, on the order of a micron in diameter, up to what are termed pebbles, on the order of a few millimeters or a centimeter in diameter.
Interstellar dust (part of the ISM) is presumed to include the elements to make up the general abundances apparent in star systems that is not evident in interstellar gas, because those systems presumably formed from the ISM. This includes magnesium, silicon, calcium, aluminum, iron, nickel, plus about half the carbon. Oxygen is something of a mystery because there's reasons to doubt it is a constituent of dust.
Infrared can be used to see through dust, and extinction, scattering, absorption, and polarization reveal information about the dust itself.
Much dust is thought to be formed by stars toward the end of their main sequence, such as red giants. It is also formed or scattered by novae and supernovae. The term nebula has come to be most commonly used for clouds that include sufficient interstellar dust to be opaque to visible light.
Clues to dust particle size include the effects of the scattering of electromagnetic radiation via diffraction as well as the particles' emission and absorption, and the wavelength-dependence of dust-caused extinction.
Dust maps of the Milky Way are of interest to aid in interpretation of photometry of Milky Way stars as well as basically every other galactic or extragalactic observation. A means of creating them is through analysis of stellar distance and photometric survey data.