The default shell (the program that runs when you open a terminal window) is called tcsh. Bash is an alternative with a superset of features that many UNIX users prefer; you can read about it on the Bash information page. Jim Weisbin of savagetranscendental.com has written a great set of instructions for installing the Bash shell in OS X.
You can download Bash from Jim's site, and the installation instructions are included. It's quite simple; if you've used the terminal much at all, it should be fairly straightforward. You can also view the instructions online prior to downloading to get some idea of the process.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20010111013258944