If you have saved your palm branches from Palm Sunday last year then today is the day to get them out, burn them and use their ashes to make the mark of a cross on your forehead.
Hence Ash Wednesday!
The ashes are a visible act of humility to remind us that one day our bodies will be returned to dust, and that the future of our souls and spirits is in God’s hands.
Leaving the crosses on our foreheads all day also probably helps us to remember that we have committed to some kind of fast.
Don't worry if you haven't saved your palm branches - any ash will do. After all, ash is pretty much indistinguishable from most other ash. That's the point!