OK, boys and girls, it's time for a little Catechesis 101. (Actually, this stuff is so basic, we probably ought to call it Catechesis 1.) Here follows a (not-so-) brief introduction to the sacraments:
The seven sacraments are signs instituted by Christ which communicate grace, that is, God's own life, making us participants in the very life of God--it would seem that they're pretty important then! Or, in the classic definition, a sacrament is "a visible sign of invisible grace."
A sacrament consists of two things: the sign (the visible), and the reality that the sign signifies and brings into effect (the invisible). Every sacrament signifies what it does and effects what it signifies. For example, Baptism through its pouring or immersing in water clearly signifies washing, but this physical washing also has the spiritual effect of cleansing us from our sins. The effect of every sacrament is sanctifying grace, the gift of God's own life that unites us with God. Each sacrament also gives us virtues and gifts particular to that sacrament. For example, Matrimony gives the wedded couple the grace to be faithful to one another as a sign of the fidelity between Christ and the Church.
The sacramental signs themselves are a combination of words and things. In the Summa Theologiae, Question 60, Article 6, St. Thomas Aquinas says that it is fitting that the sacraments combine words and material things for three reasons: 1) it mirrors Our Lord's Incarnation, in which the Word became flesh; 2) it mirrors the human person's composite nature of soul and body, whereby the matter touches the body and the words touch the soul; and 3) material things can be signs, but words help to clarify those signs (think of a stop sign--we might be able to learn that a red [or orange?] octagon means "stop," but having the word there helps). So, in Baptism, the material thing, the washing, is accompanied by the words that clarify what the washing is doing: "I baptize you in the name of the Father and of the Son and of the Holy Spirit."
Some people object that it is absurd or even denigrating for God to communicate His spiritual grace to us via material things--several of the objections in the Summa's sections on the sacraments make just this argument: "a material thing cannot communicate a spiritual effect." The prime piece of evidence against this was mentioned in the previous paragraph: the Incarnation. Our salvation was won precisely through God taking on flesh, taking on a human nature, and suffering and dying in the flesh for love of every single human being who will ever live. Was it unfitting of God to become man? Many heresies in the history of the Church have arisen from that very sentiment. (Perhaps I will make a post in the future about St. Anselm's argument from Cur Deus Homo on why it was fitting that God become man to save us.)
A little etymology may help to bring to light two important aspects of sacraments. The word English word sacrament derives from the Latin word sacramentum, which means an oath or a promise. This is a fitting term because in the sacraments God has bound Himself by a promise to act through their administration: God has promised that when someone baptizes, that baptism will have the effect of cleansing the person of their sins and regenerating them as an adopted child of God (Galatians 3:26-27); God has promised that when the priest says in the Mass, "This is my body," that bread which he consecrates will truly become the Body of Christ. And when we participate in the sacraments, we too are making an oath or a promise, a promise to cooperate with God's work in our lives and be bound to Christ as a branch is to a vine (John 15:5). So the word sacramentum denotes this promising or binding.
Its Greek equivalent (that is, the Greek word which is translated into Latin as sacramentum) is mysterion, which means, as you might have guessed, mystery, that is, something which is hidden and has to be revealed in order to be understood or known. This is why we sometimes refer to the sacraments as the "sacred mysteries," and the Eastern Orthodox churches regularly do. Referring back to the classical definition above, something in the sacraments is invisible, is hidden from our eyes, but at the same time is hinted at by the visible sign and revealed by faith; the material sign signifies and reveals a spiritual reality. The sign of washing with water reveals the hidden, spiritual cleansing which baptism effects. The sign of the appearances of bread and wine reveals the hidden reality of Christ's Body and Blood, which is our spiritual nourishment. St. Paul calls marriage a great mysterion which refers to Christ and the Church (Ephesians 5:31-32)--most English Bibles today translate it "mystery," but it could just as easily be translated "sacrament."
This notion of "visible sign/invisible effect" dovetails with another way St. Thomas gives us to conceive of the sacraments: as the spiritual life mirroring the physical life. Each of the seven sacraments corresponds to a major aspect of our incarnate lives. We all begin life by being conceived and born, that is, generated; in Baptism we are re-generated in new life in the Spirit. We grow into full maturity, just as in Confirmation we become perfect adult members of the Church. (This does not mean that this sacrament need be delayed until adolescence or early adulthood, for as St. Thomas points out, spiritual age does not correspond to physical age--one can reach spiritual maturity as an infant. [ST III, Q. 72, A. 8, corpus].) We are nourished, just as the Eucharist provides us spiritual nourishment. We require healing and easing of our pains, just as Penance and Anointing of the Sick heal our spiritual wounds and provide us comfort. We form relationships and propagate new members of the species, just as in the spiritual life we are bonded with another person and co-create new life with God--and in both the secular and spiritual worlds, this is done in Matrimony. And we form societies that require structure, order, and administration for public needs, just as Holy Orders creates servants and shepherds in the Church to teach, govern, and sanctify us.
Finally: is any one sacrament greater than the others? Yes! That sacrament which the Second Vatican Council called "the source and summit of the Christian life" (Lumen Gentium 11): the Eucharist. The reason for this is very simple. In each of the other sacraments, we come into contact with God for particular effect or help in coming closer to Him in the spiritual life. In the Eucharist, we come into contact with God in a most perfect way: we receive Him in receiving the Body and Blood of Christ. We can't get any closer than that! The other sacraments are ordered toward us being able to be joined to God in this most perfect way. In receiving the Eucharist, we enter into a sacred unity with God, a holy communion, if you will.
The sacraments are moments of encounter with God. Participate in them as often as you can! Go to confession! Receive the Eucharist! Don't be afraid to be anointed if you're seriously ill! Don't pass up the opportunity to be united with God, to receive His grace, to have His help in this life. Lord knows we all need it... which is why he gave us the sacraments.