Water. Notice the threads are standard hose bib threads (forget what they're called, it's not pipe thread, just similar).
It uses a key to operate it, helps prevent average jerks from just turning it on. (These keys are widely available for about $5)
Edit: the little cap is for freeze protection. It's part of a mechanism to vent water from the last foot of the pipe and bib, so there's no water in it to freeze when the valve is closed.
You can find these spigots on buildings all over the place. Sometimes they are locked behind a panel that you can also open with that same tool. Great for nomads.
It's a water spigot with a removable handle so people can't turn it on and let it run.
The handle will go into the hole on front and the top piece is a vent that allows water that drains back from the hose to exit the spigot instead of reentering the city water supply.