The kachina is the central element of spiritual life for the Zuni, Hopi, and other Pueblo tribes of the Southwest. A closer orthography of the Zuni word might be katsina, but most Western anthropologists have used the term kachina, so I'll stick to that to avoid confusion.
Even the idea of what a kachina is is difficult to translate into English. A simplistic interpretation is spirit or ancestral spirit, but this robs the idea of much of its richness of connotation. The kachinas are the archetypes of Pueblo moral and spiritual life made manifest. They are also the sacred intermediaries between the living and the Creator, the carriers of the people's prayers.
The kachinas can manifest in various forms. During the six-month long kachina season, initiated members of the various kachina societies dress in the ten-foot tall costumes and masks of the kachinas and descend on the villages to enact out various myths and stories in the form of sacred dances. The unitiated, mostly children, are taught to believe that the masked figures are the actual kachinas, while the initiated are taught that by wearing the masks with prayerful thought, they are in communion with the kachinas. Kachina dancers typically refer to their masks as "My kachina friend". Clay kachina dolls are also important as representatives of the kachinas' power, but even children understand that the dolls are not the actual kachinas.
The kachina dances fill several important roles. They serve to maintain the Pueblo's relationship with the natural world, ensuring plentiful rainfall and good crops. They also keep the spirtual world in balance, for both the dancers, their people, and the entire world. The kachina dancers believe that their dance is something which is "neccessary for the whole world". Without the dancing, there is no possible balance or harmony to the Pueblo people; and many will return to their home villages from anywhere in the country or even the world if they possibly can for important dances.
The kachinas serve to shape the lives of the Pueblo people from childhood. Unruly children are told that the War Brothers kachinas will come in the middle of the night to take them away. If neccessary, the dancers representing the War Brothers will actually come to give the children a good scare. All of the various forms of good and neccessary behavior are represented by the kachinas, and many socially unacceptable behaviors are enacted by the "clown" and "mud-head" orders.
The entire macrocosm of the Pueblo universe is represented in the microcosm of the kachinas. They are not gods, but rather the Pueblo people writ large, made into myth and immortality.
Noders with an interest in the indigenous people of the American Southwest should check out Stephen Trimble's truly excellent book The People, which was the introductory and reference book for my first course on the Southwest, and no doubt puts this all much more articulately than I have.