Rocky is a rock which Patrick thought was a snail. Patrick entered Rocky in a snail race competing against Gary and Squidward's snail, Snellie. This rock actually won the Snail Race somehow. It somewhat resembles a snail, but with a rock for a shell in the episode "The Great Snail Race."
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.
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.