If you mean the common cheap hot dog variety/type, you probably don't want to know; but it's usually out of all the parts of the animal they can't use or sell otherwise, mixed with fillers & artificial coloring...
Fine sausages are made with high quality beef, pork or lamb (sometimes mixed). Kosher beef types generally are considered best. Whichever, high quality sausages are more expensive but worth it both taste & health wise. An 'old-fashioned' meat/butcher shop is usually the best place to get these...