They put you on an indoor cycling machine and gradually ramp up the resistance. Your HR will be analyzed & they'll hook an additional item to your mouth to measure oxygen intake (the one i used was jokingly referred to as the cannibal lecter restraining device). continual HR & O2 uptake data will be provided to a computer for analysis, and the test goes on for about 10 or maybe 20 minutes until you can't push the pedals anymore.

things you get out: max power (1min), power at lactate threshold (which may not be your functional threshold), VO2 max, HR at VO2 max, so on. you can also get a good estimate of calorie expenditure