Advent actually means "coming" or "arrival." It begins four Sundays before Christmas, and is actually considered the preparation for the birth of Jesus. It is both a time of celebration and penance. The liturgical color during this period is purple, and it is when the Catholic church changes the cycle of readings used in Mass.
The Advent wreath is a popular symbol of the season, and has its roots in the pagan rituals during the winter solstice. The meaning of the wreath has changed so that the four candles interspersed around the wreath now represent the coming of Jesus.
A candle is lit on each Sunday during Advent, but on the third Sunday the candle is rose to remind people to rejoice in the Lord. This third Sunday is called Gaudette Sunday, as Gaudette comes from the Latin word for "rejoice." The change from purple as the liturgical color to rose represents the change from being a season of penitence to celebration. Some churches now use blue, though, so that the season of Advent can be differentiated from Lent, as purple is also the liturgical color of that season.
Jesse trees are also a traditional part of Advent, as they represent the family of Jesse, David's father, since Jesus came from this family line. Each day an ornament is added to the tree to represent each of Jesus' ancestors.