Sukkot is the Jewish Harvest Festival, celebrated in the fall for eight days, after Yom Kippur. It is a reminder of the time when the Israelites wandered through the Sinai dessert and a time to be thankful for all that you have. During Sukkot, one is actually commanded to be joyous, and it can be a lot of fun.

[edit] Steps

Build a Sukkah. A Sukkah, (tabernacle or booth) should be large enough to eat, sleep, and play in, about the size of a small room, and can be made out of any material, so long as the roof is natural. It can use one wall of a permanent structure in its construction, or may be free-standing. In other words, at least three walls must be temporary. There should be a roof. Tree branches or latticework function well, since you must be able to see the stars through the roof. There are Sukkah building kits available and instructions online. Feel free to make it out of anything that comes to hand.
Decorate your Sukkah. Traditional decorations include harvest vegetables (corn, pumpkins, squash) hung from the ceiling and beams or placed in corners. Other decorations include but are not limited to: paper chains, pipecleaner constructions, pictures, wax paper stained glass, anything else that you or your children feel like creating.
Shake the lulav and etrog in your Sukkah. This is a mitzvah (commandment). A lulav is a single palm leaf, two willow branches and three mrytle branches, held together by woven leaves. An etrog is a lemon-like fruit grown in Israel. Hold the lulav in your right hand and the etrog in your left, say the blessing over them, and then shake them in the six directions: north, south, east, west, up, and down, symbolizing God's presence everywhere.
Eat, drink, and be merry in your Sukkah. It is a mitzvah to eat in your sukkah, to play there, to sleep there. Some people eat every meal in it, some sleep there at night. This is obviously more feasible in more temperate areas where it is still warm at this time of year. Sukkot (the plual of Sukkah) also make great houses for backyard childrens' games.
Leave your Sukkah up until Simchat Torah, eight days.
Take your Sukkah down and keep the materials for next year.

[edit] Tips

If you prune your trees in the fall, those branches make a great addition to your Sukkah.
Have small children make decorations for the Sukkah while the adults build it, to keep both groups happy and safe.
Plastic tarp can be wrapped around the outside of your Sukkah to keep off the wind chill, but don't use it for the roof.
You are commanded to do things like sleep and eat in the Sukkah. However, if it is raining hard enough to dilute your soup, this commandment no longer applies.
Make sure to smell the etrog -- it's the smell of the holiday, and sweet.
Remember that you are commanded to be joyous, so have fun with this!

[edit] Warnings

Sukkah construction should be done by or with adults, as any number of painful accidents can occur.
Because everything in the Sukkah will be exposed to the elements, do not decorate it with anything that you want back in its original condition.
When shaking your lulav and etrog behind you, be careful not to hit anyone in the eye with it.
If the pitom (the little knobby part at the end) falls off of your etrog, it is no longer usable. Be careful not to knock it off.