Lent is an extended time of preparation for Easter. For most Christians Lent begins on Wednesday and ends the Saturday evening before Easter Sunday, for a total of 46 days. (The Eastern Orthodox churches observe a longer period.) Lent is a time to reflect on the meaning of Easter and the events leading up to it.
Ash Wednesday marks the start of Lent. Some Christians used to observe this season by separating themselves from the community. On Ash Wednesday these penitents would be clothed in sackcloth and be marked with ashes by the local priest. They would then go into seculsion, usually at a nearby monastery. Over time the custom of ashes spread to include everyone who attended church. (Sackcloth-wearing, meanwhile, declined--although don't let me discourage you if you're interested...)
The Bible often mentions sackcloth and ashes as a sign of penitence. Daniel is one example.
At an Ash Wednesday service, the minister will dip a thumb/finger into the ashes and mark your forehead with the sign of the cross, saying "Remember O man, that thou art dust and to dust thou shalt return." Many services I've attended "delegate" this responsibility to the congregration, so that the bowl of ashes gets passed around. You get marked, then you mark someone else, and so on. The ashes traditionally are made by burning palm leaves from last year's Palm Sunday service.
Whether one wipes off the ashes after the service is an individual decision. Some people choose to wash off the ashes after the service is over, mindful of Jesus's injunction to not "look gloomy like the hypocrites, for they disfigure their faces that their fasting may be seen by others" (Matthew 6). Others choose to keep the ashes for the rest of the day.
On the days I've chosen to keep the ashes, walking around with a cross-shaped smudge has been somewhat frightening. While I don't keep secret that I'm a Christian, I don't advertise it either. I know that my life should be centered on my faith, but my desire is to be part of the group and not rock whichever boat I'm in. But on Ash Wednesday my salient feature is this ash on my forehead. I get some strange looks in the library where I work, and I wonder: what do they see? Do I fit their vision of a "Christian"? If not, should I be concerned?
Being reminded that others may judge the church by observing my actions--and that I usually fall short of their, and God's, expectations--seems an appropriate way to start Lent. A major theme of Lent is the wilderness: the years Moses and the Israelites spent wandering in the desert, and the time Jesus spent being tested by the devil. Today many Christians remember these times with special acts of fasting and prayer during Lent.
There are many examples of fasting in Scripture: Daniel (again), Anna, Paul and Barnabas, and Christ. While no Protestant churches have any formal Lenten requirements, I encourage you to participate in some form of fast during Lent. The traditional choice is food, especially luxuries like chocolate, candy, or meat--but I know several people who fasted from TV, the Web, or other things.
If you don't feel called to fast, an often forgotten--but equally important--part of Lent is prayer and good works. The medieval monks used to check out a good library book and read it as a Lenten discipline. I usually try to read the Book of Psalms during Lent. One year I even finished it.
Whatever you choose as your Lenten discipline, be mindful that you do it as an act of worship and in obedience to God. Keeping a stricter fast does not make you more holy. The point isn't to see how far you can push yourself, but to live "not on bread alone, but on every word that comes from the mouth of God."