EDIT: Much thanks for answers. As was pointed out, the question as it stands is a little too broad. Nevertheless, I don't want to delete it, because I think that such introduction-style questions can be answered without writing a book, rather something more like an introduction to a book and fits here. Moreover, commenters have linked to great resources, and this question might help someone else. I made a follow up strictly narrower question instead.
First some background, so that you know where I came from. But the question in the title stands as it is, if you want to answer without appealing to what is below, please do.
I am currently learning about Lie groups. One of the first things that I've seen are the classical groups, and the classical group that I want to talk about today is the symplectic group $\mathrm{Sp}(n,\mathbb{F})$.
The definition of $\mathrm{Sp}(n,\mathbb{F})$ I am familiar with is as follows:
Let $\omega$ be an skew-symmetric bilinear form on $\mathbb{F}^{2n}$, which is unique up to change of basis. It is given by the formula $$\omega(\mathbf{x},\mathbf{y}) = \sum_{i=1}^n{x_iy_{i+n}-y_ix_{i+n}}$$
Why is this symplectic form important?
We can then write out the definition
$$\mathrm{Sp}(n,\mathbb{F}) = \left\{ A: \mathbb{F}^{2n} \to \mathbb{F}^{2n} \mid \omega(A\mathbf{x},A\mathbf{y}) = \omega(\mathbf{x},\mathbf{y}) \text{ for all } \mathbf{x,y} \in \mathbb{F}^{2n}\right\}$$
I can see the analogue of $O(n,\mathbb{F})$. We also have some bilinear form that needs to be preserved, namely the inner product $\langle \cdot,\cdot\rangle$. But more importantly, elements of $O(n,\mathbb{F})$ are really easy to visualize, because I intuitively know what a rigid transformation is. So the important question for me is
How to visualize symplectic transformations?
And I tried to research this question, and I stumbled upon the topic of symplectic linear spaces and symplectic manifolds. A symplectic vector space is defined analogous to Euclidean vector space, but the inner product is again substituted by symplectic form.
What is a symplectic vector space, intuitively?
I saw that the intuition behind these things should be that $\mathbb{R}^{2n}$ should be treated as a space of positions and velocities, a phase space. And I don't understand it. But I feel that physical intuition would be really helpful.
What is the connection of classical mechanics with symplectic geometry?
I don't know classical mechanics, sadly, so a quick mathematical rundown would be appreciated.
All the questions that I've asked above could be summarized to one question:
What is symplectic geometry?