The proprioceptive sense is believed to be composed of information from sensoryneurons located in the inner ear (motion and orientation) and in the joints and muscles (stance). There are specific nerve receptors for this form of perception, just like there are specific receptors for pressure, light/dark, temperature, sound, and other sensory experiences.
The proprioceptive sense can be sharpened through study of many disciplines. The Alexander Technique and related methods use the study of mannerisms to directly enhance kinesthetic judgment of effort and location. Juggling trains reaction time and spacial location.
Oliver Sacks once report the case of a young woman who lost her proprioception due to a viral infection of her spinal cord. At first she was not able to move properly at all. Later she relearned by using her sight (watching her feet) and vestibulum only. She eventually acquired a stiff and slow movement, which is believed to be the best possible in the absence of this sense.
People who have a limb amputated may still have a sense of that limb; this is termed a phantom limb. This phenomenon is not limited to one sensation, however. Phantom sensations can occur that are perceived as movement, pressure, pain, itching, or hot/cold as well.