The Squat

The Squat is the most important weight training exercise because it works your whole body, not just your legs.

What Are Squats? Bend through your knees with the bar on your back until your hips come lower than parallel. Once your hip joint is lower than your knee joint you Squat up again. Popular variations of the Squat include:

Olympic Squat. High bar position, close stance & deep.
Front Squat. The barbell rests on your front shoulders.
Overhead Squat. Squats while holding the bar overhead.

Why Should You Squat? Every muscle works when you Squat: your legs move the weight, your abs & lower back stabilize it, your arms squeeze the bar, etc. The Squat is NOT just a leg exercise, it's a full body exercise.
As a result, here's what you can expect...

Build Muscle. Muscle size is directly related to strength. That's why the best bodybuilder ever, Arnold Schwarzenegger, could Squat close to 500lbs. Getting stronger at Squats is the fastest way to gain muscle.
Gain Strength. Squats strengthen your legs by working them through a full range of motion. This helps all sports but also daily activities. No more bending over to pick up an object, you can just Squat.
Gain Flexibility. Squats are proof that weight training doesn't make you inflexible. You need flexibility to Squat, and regular Squatting will help you maintain that flexibility. Especially if you sit a lot at work.
Strengthen Your Knees. Unlike what ignorant people will tell you, Squatting CORRECTLY will strengthen your knees by strengthening their surrounding muscles. Many people can rid themselves of knee pain by doing Squats.
Won't Squat Blow My Knees? If you do them wrong for months, they will. Just like any other weight training exercise (or movement!) will get you injured if you do it wrong long enough. Many idiot personal trainers and "highly educated" (but dumb) doctors will tell you to do half Squats to keep your knees safe. This is the WORST advice ever - you'll HURT your knees if you do what they say.

Here's why: your knee joint is strongest in a fully flexed/extended position, not the positions in-between. On top of that, partial Squats only strengthen your quads, not your glutes and hamstrings. That will result in muscle imbalances and injuries. Half reps are also less effective for strength and muscle gains.

If you use common sense, you'll see that Squatting parallel is the logical thing to do. Here are some examples to get you on the right track...

In many parts of the world, Squatting deep is "normal" and people do it a lot. As an example, watch this video of the Asian Squat.
Babies sit in the bottom Squat position all the time without injuring their knees. The fact that most guys lose this ability over the years, doesn't mean that Squatting parallel is bad for your knees.
Thousands of weightlifters Squat deeper than described here and with heavier weights than most guys will ever handle. Nonetheless, weightlifting has the lowest rate of injury compared to any other sport.