I tried it for the first time this weekend and had a blast!
To do this you need a hand-held GPS device and a compass. Go to the web site below and enter your Zip Code and it will give you a list of nearby Caches with their corresponding GPS coordinates (Latitude and Longitude). Your objective is to find the cache and make a note of it. Most of the caches are small containers with a log book and several other little nick-knacks that other people have left inside. You can sign the log and take an item and leave an item.
Some of the caches are hidden in wooded areas and take some effort to get to, others are located in public parks and are hidden in very cleaver ways so that all the people walking in the parks won’t notice them - you really have to look around before you find them. You can bring the kids along for the ones in the public parks… they will have a great time. To my surprise there are almost no public parks that do not have one of these GEO Caches hidden in them… we all walk right past them all the time without ever knowing they were there!
A nice side effect of this is you get to become very familiar with all of the public land in the area where you live. It's also great exercise!
http://www.geocaching.com