Hajj is the annual pilgrimage to Makkah, compulsory on every Muslim who can afford. It takes place in the month of Dhu-al, Hijjah. There is an entire chapter "Hajj" in the Quran.
"And sanctify my house for those who compass it round, or stand up, or bow, or prostrate themselves" (in prayers). (The-Qur' an, 22:26)
"And proclaim the pilgrimage among men, they will come to thee on foot and (mounted) on every kind of camel, lean on account of journeys through deep and distant mountain highways. (The-Qur' an, 22:27)
There are three ways of performing Hajj
The Prophets (S.A.W.) said,"The reward of Hajj is nothing but paradise". (Al-Bukhari : Vol. III :1)
Prophet Muhammed (S.A.W.) performed Hajj only once. (Al-Bukhari : Vol. III : 6)
It is known as the smaller Hajj. A visit to Makkah during which one performs the circumbulation of Kabah and the say between Safa and Marwa.
The Prophet (S.A.W.) said :"(performing) Umrah is an expriation from the sins committed between it and the previous one."
Ibn Umar said, "The Prophet (S.A.W.) performed Umrah four times." (Al-Bukhari Vol. III : 4)
* pbuh - Peace be upon him; It is a Muslim practise to convey prayers of peace whenever the name of Prophet Muhammad (pbuh) and other prophets is taken.