The goose step is a kind of marching done by the military. It is usually done in formal parades and other ceremonies. While marching together, the troops swing their legs high off the ground, while keeping their knees unbended (so that their legs are straight). It resembles the walking style of a goose.
The march comes from the Prussian army in the mid-18th century. It was called the Stechschritt (meaning, "piercing step") or Stechmarsch. It is still used today by the armed forces of the nearly 30 countries.