The Triple Crown is the series of races that are the most prestigious in American Horse Racing.
The Kentucky Derby - Arguably the most notable of the races, this takes place in May (First Saturday?). It also tends to have the largest field, sometimes with over 20 horses taking part. That being said, if a longshot is going to win, this is the place to do it. Located at Churchill Downs.
The Preakness Stakes - The second of the races, and it usually has a whittled down field from the Derby. Slightly longer than the Derby, but the distance makes little difference. Horses are still rather tired from the first race, so preparation is key. This race is run at Pimlico Race Course in Maryland.
The Belmont Stakes - At 1 1/2 Miles, this is the longest of the Triple Crown races. Only the best horses can run the entire race. The pace is normally very slow, and then comes up at the end. The race is run at Belmont Park in New York.
It's significance is that it is so difficult to win all three. The last horse to do so was Affirmed in 1978. Only one horse has really come close since, and that was Charismatic.