We introduce fractal liquids by generalizing classical liquids of integer dimensions d=1,2,3 to a noninteger dimension dl. The particles composing the liquid are fractal objects and their configuration space is also fractal, with the same dimension. Realizations of our generic model system include microphase separated binary liquids in porous media, and highly branched liquid droplets confined to a fractal polymer backbone in a gel. Here, we study the thermodynamics and pair correlations of fractal liquids by computer simulation and semianalytical statistical mechanics. Our results are based on a model where fractal hard spheres move on a near-critical percolating lattice cluster. The predictions of the fractal Percus-Yevick liquid integral equation compare well with our simulation results.