Dixieland Dancer described Utiltiy pretty good, these are the different exercises in Utility:

Signal exercise: dog must stay at handlers side while completing a heeling pattern usually including variations such as left or right turns, about turns, fast, slow, stop (dog then must sit at handler's side), forward again. While heeling, the handler signals the dog to stand and stay and goes out to the end of the ring. Then the dog has to down, then sit, then come and finish to heel. They must do this all on hand signals, the handler can not talk at all.

Scent Discrimination: A mixture of leather and metal articles (something big enough to fit in your hand) are laid out when the dog is not looking. The handler then takes one and scents it by rubbing her hands on it, it is then placed out with the other articles when the dog isn't looking. The dog has to find, by scent, his handler's article.

This is done twice, once the dog has to find a metal one, and once a leather.

Directed Jumping: The dog and handler sit between two jumps spread about 30 ft. apart. On command, the dog must go straight out between the jumps to the end of the room, then turn around and sit. On further command from the handler the dog must go over the jump which the handler directs the dog to. This is done over again and the dog does the other jump.

Directed Retrieve: 3 gloves are laid equal distance apart at one end of the ring. The handler and dog turn to face the gloves and then the handler tells the dog which glove to get usually by pointing to it.

Stand for Exam: The handler does a short heel forward and signals to the dog to stand and stay and walks out 15 or so feet. The judge then goes over the dog petting it as if he would in conformation. Then the handler calls the dog.

I think that's it, sounds hard, huh?