In addition to the extensions which are maintained and provided by the core PostgreSQL development team, there are extensions available from third parties. Notably, there is a site dedicated to that purpose: http://www.pgxn.org/
While Evan Carrol's answer is correct, please note that you need to install the postgresql contrib package in order for the CREATE EXTENSION command to work.
The extensions available for each version of Postgresql vary. An easy way to check which extensions are available is, as has been already mentioned:
SELECT * FROM pg_available_extensions;
If the extension that you are looking for is available, you can install it using:
CREATE EXTENSION 'extensionName';
or if you want to drop it use:
DROP EXTENSION 'extensionName';
With psql you can additionally check if the extension has been successfully installed using \dx, and find more details about the extension using \dx+ extensioName. It returns additional information about the extension, like which packages are used with it.
If the extension is not available in your Postgres version, then you need to download the necessary binary files and libraries and locate it them at /usr/share/conrib