What is a sounding rocket?

Sounding rockets are suborbital vehicles; they are launched into space but don’t reach orbital velocity, so they return to Earth along a parabolic path within 15-20 minutes.

Sounding rockets diagram, provided by NASA.
Image credit: NASA

Sounding rockets are commonly used to study the upper atmosphere and phenomena like aurora since the region below ~400 km is a very difficult altitude to keep a satellite orbiting, due to atmospheric drag. Auroral altitudes of ~100 km are too low to be reached by satellites so sounding rockets offer the best access.

Sounding rocket lighting up the night sky. Image provided by NASA.
Image credit: NASA

For more information, visit: https://www.nasa.gov/missions/research/f_sounding.html and 
https://www.nasa.gov/mission_pages/sounding-rockets/missions/index.html.