.app

The file format .app means that it's an Application. It is recommended to keep these files in the Applications folder (so you won't loose them).

Technical Information
The .app is actually a folder which contains another folder named "Contents" - the Mac OS X "bundle" format. Inside this "bundle":
 * Info.plist: A .plist for the main description of the bundle.
 * MacOS: The real programs are deep in here. The main program which is run from the "MacOS" folder when a user clicks on the .app - Info.plist makes the decision. Universal Binaries contain many different binaries, so they'll work on many platforms but take up loads more room.
 * Resources: Contains .nib/.xib files which the UI is normally loaded from, .lproj bundles mapping string IDs to messages in different languages, or anything that doesn't fit anywhere else. Actually, some .app bundles have additional binaries stored in the Resources folder rather than the MacOS folder.
 * (optionally) Frameworks: When this folder contains any ".framework" bundles (which are the same as .app bundles but are named "QT.framework" instead of "QT.app"), functions from the main program of that modified .app bundle are injected into a program within the .app bundle containing the Framework and requesting it.
 * (optionally) MacOSClassic: What Mac OS 9 shows instead of the .app folder as a whole, within any folder.