A Fleecy Box is where the wool is located in most Super Hostile maps. They come in several sizes (such as 3x3x4, 5x5x7, and 7x7x7), but the overall layout is a brick floor and ceiling, walls made of glass, glowstone in the corners, and the wool chest in the center. Earlier maps generally contain 27 wool in each chest, while later maps (specifically Inferno Mines and Waking Up) provide only 3 wool.
The name was given by Joe Hills, a YouTube let's player.
Some Fleecy boxes contain other loot as well as wool. For example, the one in The Undersky (from Infernal Sky II) also contains a Zistonian Battlesign.