It's usually a big tupperware box with a log book, camera and some goodies like candy, toys or a map of the area. You're supposed to write in the log book, take a pic of yourself with the camera and exchange something else in the box.
I've only done it once so far, with a GeoCache near Wendover, Bucks. It was fun. I took out some M&Ms and put in a chunky KitKat. That was only because I'd left the book with walks in the area that I was going to put in there at home.
Today I was going to find another GeoCache near Missenden. The waypoint is in my gps and the right map lies by the backpack in the hallway. Alas, a tummy bug is keeping me at home. :-( Maybe next weekend.
You can see a map of caches at http://www.geocaching.com/map/uk.asp
--Mjausson (Colour me an anorak)