NASA currently has five operating probes exploring the planet Mars. The two most famous are the rovers Spirit and Opportunity, which have been crawling over the surface of Mars for nearly three years now.
The MGS just celebrated its 10th year in space -- it launched from Kennedy Space Center on November 7th, 1996. 10 years is quite old for a spacecraft, and is nearly twice as old as its planned lifetime. But the satellite seems to be showing its age. On November 2nd, NASA sent normal commands to the probe, and for some reason the probe entered a "safe mode." This means something went wrong, and the spacecraft shuts down all non-essential equipment and sends an interplanetary distress signal to Earth.
Such safe modes happen fairly often in space probes -- recently the Hubble Telescope's main camera went into safe mode, the two rovers have repeatedly entered safe modes, etc., etc. The main purpose of the safe mode is to keep the spacecraft from hurting itself while NASA tries to figure out what went wrong.
With the MGS, though, the situation is turning dire. After sending its "distress signal," it has said little else. Part of the reason for this may be that the spacecraft, when in safe mode, is supposed to turn its solar panels toward the sun, which moves its antenna away from the Earth. In case this is what happened, NASA is using its other probes around Mars to try and contact the MGS. But perhaps the MGS did not make it into the proper position, in which case its batteries would have run down by now. In this case, MGS will not be able to be recovered.
I think its important for you all to realize that, although this sounds like it may be the end of one of our space probes, this is by no means a failed mission. MGS has done much more than we intended it to do when it was launched. It has sent back nearly 250,000 pictures of Mars, and observed four Martian years' worth of weather on Mars. All spacecraft will die eventually, and MGS has lived a full and very useful life. Hopefully it is not gone, but if it is, let's celebrate instead of mourn!