Rémoulade usually includes all our favorite things: pickles, capers, anchovies, mustard and mayonnaise. It's like five condiments rolled into one very pungent and tasty sauce - which, according to Wikipedia, may have originally been concocted to help cover the taste of meat gone bad.
The sauce is also very strongly associated with Louisiana and Cajun cuisine. There, however, it is based on ketchup instead of mayonnaise, and it's almost invariably served with seafood. It's also popular in Scandinavia, where it's often served with French fries.