Millet is a grain, sort of like wheat. It can be purchased as loose grain in stores like Whole Foods and also on branches (sprays) that it grows in bird supply isles in many different stores. Hams seem to love it pretty universally. Here's nutritional information for it:
Nutrition Facts and Analysis for Millet, raw
It's a great source of Omega-6 and is fairly high in protein. It's a whole grain, so it's got good fiber and complex carbs. Don't think it has any sugars in it. Not sure why it would be fattening, as one of the comments above notes. From what I've read, people seem to give one spray (stalk) a month or so. The sprays can be pretty long! Can get 6 for $3, or even better deals.