Squats are one of the best exercises one can do both to gain muscle mass and lose weight at the same time. This is because it employs so many different muscle groups, and the muscles it does employ are the largest in the body.
Squatting engages the quadriceps (thighs), calves, gluteus maximus and the lower back all at once. Engaging these big muscle groups all at once works out the body vigorously burning many calories both while performing the exercise, and while recovering.
Squatting collects holding a barbell with weights on the shoulders and slowly lowering yourself and rising again. Squats can be done in several ways. You can lower yourself slightly, parallel with the ground or all the way down. Squatting almost all the way down to the floor provides the greatest range of motion and the best benefits muscle wise.
Many people find squatting to be awkward the first time they try it. That's why it is important to have an experienced person showing you the proper technique and watching you until you feel comfortable doing it on your own. When using heavy weights, it is important to keep perfect form. Breaking form even slowly can result in injuries and you can seriously injure yourself. Dropping that much weight on yourself is not a pleasant experience.
Squatting should be included in any full body workout. It is great for working out major muscle groups. Because it uses multiple large muscle groups most people prefer to only do it once a week or once a fortnight. The difficulty of the exercise might also have something to do with it.