Almond paste is a mixture of ground almonds, sugar, and liquid (the can said water, but I’ve seen plenty of recipes calling for egg white and Sharon Tyler Herbst in The New Food Lover’s Companion mentions glycerin). Sometimes the almond flavor is given a bump up in intensity with the addition of almond extract. Almond paste is different from marzipan, though it’s really tough to pin anyone down on a definition. Generally speaking, marzipan is smoother and sweeter than almond paste.
Almond paste is used in cakes and cookies (my favorite are pignoli) and a variety of other sweets and can be found either in cans or in plastic sleeves that are cinched closed on either end like packages of breakfast sausage. For my money, I have a preference for the canned version, which seems to be more moist and malleable and consequently is easier to work with (at least for what I bake [pignoli]). I will say that almond paste is sort of expensive. I’ve read several times now that you can buy it in bulk for much less money and freeze the leftover paste. Alternatively, I’ve discovered you can make your own (wish I had done that research before I ran out for almond paste this morning). Here is one recipe for almond paste - if I try it out, I’ll let you know.