An oxidizing agent is needed for the combustion of the fuel in a rocket. The combustion of the fuel generates a lot of energy which pushes out the products of combustion with a very high momentum in the backward direction. An equal reaction to this action pushes the rocket forward.
There are many oxidizing agents that are used for rockets which differ based on the size of the rocket, the type of fuel being used, where the rocket is going to be flying, how fast it has to be made ready to fly, etc.
Usually the oxidizing agent is oxygen or a compound that releases oxygen when it is heated or undergoes another reaction prior to the oxidation of the fuel. Though there is oxygen present in the air, rocket fuels require a lot of oxygen and have to burn at a very fast rate. This makes it essential to keep the source of oxygen with the fuel. Oxygen based oxidizing agents include liquid oxygen, hydrogen peroxide, nitric acid, potassium nitrate, etc.
Other oxidizing agents are fluorine, chlorine, sulfur and their compounds like bromine fluoride, carbon fluoride, etc.