There are five pillars in Islam, things that each Muslim is required to do. One of the pillars is the hajj, the pilgrimage to Mecca, Saudi Arabia. A Muslim is to go on pilgrimage to Mecca once in his lifetime if he is able. Each year over 2 million Muslims from all over the world make the hajj.
Muslims often point to the unity of the community of Islam, the ummah. They understand that when one is Muslim he is part of a worldwide community of brothers and sisters. As a non Muslim I especially see this community in the hajj. It is an annual even that unites millions of Muslims (not only those who go, but all all their families at home).
Here is a video that explains the purpose of the hajj and what one does on hajj.
You can learn much more about the hajj at islam.com.