Traditionally, these are lit on Sundays each representing each of the four weeks of Advent. We light them throughout the week and eat candle light dinners by them. My kids absolutely love this Advent tradition. There is something about handling fire that is very attractive to young people. Surprisingly, we have very thoughtful conversations during our dinners.
For a great explanation of the symbolism of the Advent Wreath visit Catholic Education Resource Center.
The little reindeer advent calendar hangs on the door in the background. It doesn't seem to warrant as much attention as the wreath.