The sun is actually a star, like those that you can see at night in the sky. It looks different though because we are much closer to the sun than we are to the ones in the night sky. Stars, like our sun, are basically big balls of gas. The gases are squished together, and as they are squished they start to get hot. When the gases get hot enough, their atoms start to combine to make new atoms in nuclear reactions. These reactions in stars are called fusion (2 atoms make 1 new atom. This combination of atoms to make new ones releases heat. The sun is hot because of the nuclear activity within it.

This is a really good question. The basic theory of where our sun came from is that a long time ago (around five billion years) a large cloud of cold gas started to collapse due to gravity. As that gas cloud collapsed it started to heat up as the released gravitational energy was turned into thermal energy (heat). Since the gas cloud was warmer than surrounding space, some of that heat was radiated away at the surface of the gas cloud and, because of this, the cloud continued to contract and become hotter. Eventually, the cloud collapsed down to around the current size of the sun. At the point, the center of the cloud became so hot the nuclear fusion started to provide the energy to keep up with what was being radiated away at the surface and the sun stopped contracting.

So, in a nutshell, the sun is hot because of the physics of a giant gas cloud that has collapsed due to gravity and is surrounded by empty space. The temperature at the surface of the sun mostly depends on how much mass it has. Do you think stars that have more material are hotter or cooler? Do you think stars with a different mass would have the same color or a different color?