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Why Is it Important to go to Reconciliation?

"Sin is before all else an offense against God, a rupture of communion with him. At the same time it damages communion with the Church. For this reason conversion entails both God’s forgiveness and reconciliation with the Church, which are expressed and accomplished liturgically by the sacrament of Penance and Reconciliation" (Catechism of the Catholic Church 1440)  Sin damages our relationship with God. Jesus Christ, after His resurrection, established a way for his priests (the Apostles) to continue His ministry of healing and forgiveness :

On the evening of that first day of the week, when the doors were locked, where the disciples were, for fear of the Jews, Jesus came and stood in their midst and said to them, “Peace be with you.”  When he had said this, he showed them his hands and his side. The disciples rejoiced when they saw the Lord. [Jesus] said to them again, “Peace be with you. As the Father has sent me, so I send you.”  And when he had said this, he breathed on them and said to them, “Receive the holy Spirit.  Whose sins you forgive are forgiven them, and whose sins you retain are retained.” John 20:19-23

How Does One Prepare for Reconciliation?

To prepare for Reconciliation, a person needs to examine his or her conscience. Typically it is a good idea to begin by calling forth the Holy Spirit and asking Him to aid you in examining your conscience. 

You will find a helpful guide here. 

One prayer you might like want to use is the following:

Come Holy Spirit into my soul,
Enlighten my mind that I may know the sins I ought to confess,
and grant me Your grace to confess them fully,
humbly and with a contrite heart.
Help me to firmly resolve not to commit them again.
Amen.

What Happens at Reconciliation?

The priest will bless you, or you will begin with "Bless me Father for I have sinned. It’s been (State how long) since my last confession. These are my sins. . . " It is ok if you do not remember how long it has been since your last confession. Sometimes the priest will give you feedback or advice on some of your situations. At other times he will simply tell you what you need to do as penance (ie. pray x amount of Our Fathers, Hail Marys, etc., give alms, or reflect on scripture readings). Then he will ask for an act of contrition. You then must say:

My God, I am sorry for my sins with all my heart. In choosing to do wrong and failing to do good I have sinned against You, whom I should love above all things. I firmly intend with your help to do penance, to sin no more, and avoid whatever leads me into sin. Our savior, Jesus Christ, suffered and died for us. In His name, have mercy.

The priest will then say:

God, the Father of mercies, through the death and resurrection of His Son
has reconciled the world to Himself and sent the Holy Spirit among us
for the forgiveness of sins;
Through the ministry of the Church may God give you pardon and peace,
and I absolve you from your sins in the name of the Father, and of the Son, and of the Holy Spirit.

After confession, you must do the penance that was assigned to you.