The hardest substance known is diamond. Diamond is made up entirely of the element carbon. (Another thing that is made entirely of carbon is graphite, one of the softest substances.) Diamond's hardness is roughly 10.5-14.5 million psi.
The second hardest substance is a compound made from aluminum, magnesium, and boron. It was made for the first time in 1992 by scientists at Ames Laboratory in Iowa. Its hardness is 6.67 million psi (about half that of the diamond). You can check out the press release.
Hard substances like these are very useful for things like drills since regular drill bits will break if you try to go through something harder than they are. So when they want to cut through something /very/ hard, they use diamond drill bits instead. But since diamonds are so expensive, sometimes they use things like the aluminum-magnesium-boron compound I mentioned instead.