Churches in the Refored Protestant tradition like Westminster celebrate two Sacraments -- Baptism and Communion (also called The Lord's Supper).
Jesus said: "Do this in remembrance of me" (Luke 22:19).
Pastor Ruttan put together a podcast highlighting it's meaning. You can listen to it here.
The Lord's Supper is a "means of grace"; reminds us reminds us about Jesus and the gospel; nourishes us with the spiritual presence of Christ himself; reminds us about our common-union as believers; is a thanksgiving celebration; is taking an oath of allegiance. It also gives us hope because it is a small foretaste of heaven.
At Westminster we celebrate Communion during worship services on the first Sundays of February, April, June, August, October and December. We also celebrate it on Maundy Thursday.