Palm Sunday (Domingo de Ramas), celebrated the Sunday before Easter

Remembered as the day Christ was welcomed into Jerusalem with palm leaves. Watch a video of the procession here.

Holy Thursday (or Maundy Thursday), observed Thursday of Easter Week

This is the first day of the Passion of Christ, the time during which Jesus was arrested, tried, suffered and was crucified. At noon, priests perform foot washings. Around 5-7 pm, families traditionally walk to seven churches in their area to view the altar and perhaps say a prayer.

This walk represents the seven locations that Jesus went to before he died, beginning with the Last Supper and ending with the crucifixion. Ladies stand outside each church and offer chamomile and bread to the visitors.   The Oratorio (located in Centro, at the end of Insurgentes in the plaza) is specially decorated and considered the most important church on this occasion because the Good Friday procession begins from here.

In addition, Colonia San Luis Rey presents a reenactment of the Via Crucis (Way of the Cross) during the evening.  Many offices and businesses close on this day and do not reopen until Monday.

Good Friday, observed the Friday before Easter Sunday

Of all the days of Semana Santa, this is the most significant.  The events of this day are solemn, emotional, and attended en mass.  Dramatic processions and church services are held throughout the city, as well as a major reenactment depicting the sufferings of Christ, which begins at La Parroquia at 11 a.m.  Get an idea of what the altars look like in this video.

Later in the day, you can witness the Procession of the Holy Burial, which begins at 5pm at the Oratorio and winds through Centro.

Holy Saturday, observed the Saturday before Easter Sunday

One final procession entitled the Crown of Sorrows is held to offer condolences to the Virgin of Solitude.  This group of women leaves the Oratorio in the early evening for a short walk.

Easter Sunday (Domingo de Pascua), celebrated late March/early April

Easter Sunday is a day of both devotion and relaxation after an intense week.  The agenda is short: attend Mass, watch the "Burning of the Traitor" and go home to eat a large traditional Easter meal with family.  

About noon, if you are on Calle San Francisco, you will see, Judas, "the Traitor", along with effigies of other unpopular politicians and well known figures strung up and then ceremoniously blown up.  It's rather amusing, as you can see here.