The Spiritual Exercises are a compilation of meditations, prayers, and contemplative practices developed by St. Ignatius Loyola to help people deepen their relationship with God.
The Exercises are meant to be given by an experienced spiritual director, meaning that a person is led through them. The overarching aim is to bring a person into contact with a loving God.
A good overview of the Exercises can be found at IgnatianSpirituality.com.