Exegesis is the term used for finding out the meaning of the text. When Bible students attempt to find out what the Bible text means, they are doing exegesis.
To be able to do exegesis correctly is important so that we avoid doing eisegesis - which is when we read into the text what we think should be there, rather than trying to discover what the Holy Spirit and the human author meant when they wrote it.
2 Books that I would recommend on this subject are, "New Testament Exegesis", G.Fee, and "Biblical Greek Exegesis" by G.Guthrie & J. Duvall. The last book is only useful for those who know (or are learning) New Testament Greek.
For those interested in exegesis I have outlined below 12 steps to take in exegesis (these are straight from "Biblical Greek Exegesis"):
1) Spiritual preparation.
2) General introduction.
3) Literary Context.
4) Provisional translation.
5) Grammatical Analysis.
6) Semantic Diagram and Provisional Outline.
7) Word and Concept Analysis.
8) Broader Biblical and Theological Context.
9) Commentaries and Special Studies.
10) Polished Translation and Extended Paraphrase.
12) Preaching/Teaching Outline.
I will write more on each point later.