Rocky is a rock which Patrick thought was a snail.
Rocky the "rock" is brown in color and is the same size as a snail (Gary, Snellie, and Larry Luciano) Also, it looks like a scaled down version of Patrick's rock.
Patrick entered Rocky in a snail race competing against Gary and Squidward's snail, Snellie. Somehow, it actually won the Snail Race. It somewhat resembles a snail, but with a rock for a shell in the episode "The Great Snail Race."
In "Buried in Time," Patrick wants to donate Rocky to the Time Capsule. In this episode, however, Rocky is lumpy and gray, maybe meaning that he somehow got older.