Great Jedi Purge
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The Great Jedi Purge, or Order 66 or Operation: Knightfall, is a major event in the Star Wars storyline. It is officially documented as a plot element in the 2005 film Star Wars Episode III: Revenge of the Sith, and is further referenced in the Star Wars Expanded Universe. In the film, the Jedi are nearly exterminated by order of the Sith Lord Darth Sidious to the Clone Army, with only Obi-Wan Kenobi and Yoda among a handful of others surviving. The first person to be issued this order was Clone Commander Cody (who until then was under the command of Jedi General Kenobi).
Order 66 
The text of Order 66 (as given in Chapter Twenty of the novel Star Wars Republic Commando: True Colors) reads:
In the event of Jedi officers acting against the interests of the Republic, and after receiving specific orders verified as coming directly from the Supreme Commander (Chancellor), GAR [Grand Army of the Republic] commanders will remove those officers by lethal force, and command of the GAR will revert to the Supreme Commander (Chancellor) until a new command structure is established.
The Purge begins shortly before the end of the Clone Wars, which had been conceived as part of a scheme by Chancellor Palpatine to eliminate the Jedi and establish himself as the Emperor of the galaxy.
At some point between the noted events of Episodes II and III, members of the Jedi council began to suspect Chancellor Palpatine was tied to Sidious and Count Dooku's Separatist army. In Revenge of the Sith, Jedi Master Mace Windu openly states to the Jedi Council that he no longer trusts the Chancellor; Obi-Wan Kenobi expresses similar misgivings.
Anakin Skywalker, the "Chosen One" of Jedi prophecy, finds out that Palpatine is actually Darth Sidious, the Dark Lord of the Sith for whom the Jedi have been searching for more than a decade. Anakin reveals this information to Windu, who then leads a small team of fellow Jedi Masters—Agen Kolar, Saesee Tiin, and Kit Fisto—to apprehend Sidious. In the ensuing lightsaber duel, Sidious quickly and almost effortlessly kills Windu's companions; Kolar, being the first killed by Sidious is effectively the first victim of the Great Jedi Purge, followed, in one move, by Tiin, and then, after a few moments of combat, Fisto.
Windu engages Palpatine in a furious battle, finally disarming him. As Windu reasserts Palpatine's arrest, Anakin suddenly enters the room while Palpatine pleads for his own life. Palpatine had long been nurturing the young Jedi's desire for power and had recently roused Anakin's fear for the safety of his pregnant wife, Padmé Amidala. Before Windu can strike down the Chancellor after fending off a sneak attack by the Sith, Anakin severs Windu's hand with his lightsaber. Sidious then springs to life and blasts Windu with a torrent of Force lightning, which throws him out the window to his death.
Though Anakin expresses deep remorse for aiding in the death of Windu, Darth Sidious persuades Anakin to join him as his Sith apprentice. It was mentioned by George Lucas in the Revenge of the Sith DVD commentary that Anakin thought he was doing the right thing saving Palpatine's life when he cut off Windu's hand with his lightsaber. However, Anakin did not think that Palpatine would kill Windu, and as a result of Windu's death Anakin believed that he had gone too far to be forgiven. To save his life, he had no other choice but to join with Palpatine.
Palpatine gives Anakin the Sith name Darth Vader, and orders him to exterminate the Jedi. He sends his new apprentice to the Jedi Temple along with the 501st Clone Trooper Legion to kill all of the Jedi there. Palpatine says that if Vader carries out his commands, he will be strong enough in the dark side to save Padmé, and so Vader complies without a second thought, even exterminating the many children under the Temple's protection. While the newly turned Dark Lord is completing this task, Palpatine instructs the clone troopers to carry out Order 66. Among the most notable Jedi killed at the very beginning of the purge are Ki-Adi-Mundi, Aayla Secura, Plo Koon and Stass Allie.
Returning to Coruscant, Masters Yoda and Obi-Wan Kenobi enter the Temple long enough to re-encode a secret retreat signal being broadcast by the in-house communications ordering all Jedi to return to the Jedi Temple, instead warning all surviving Jedi about the treachery and to take precautions. During a special Senate session, Palpatine declares the Jedi traitors, reorganizes the Republic into the Galactic Empire, and declares himself Emperor of the Galaxy.
Yoda and Obi-Wan Kenobi survive the initial purge and are picked up by Senator Bail Organa of Alderaan aboard his diplomatic cruiser Tantive IV. Organa, after witnessing the young Jedi Zett Jukassa being killed by clone troopers, has secretly remained loyal to the Jedi. Kenobi and Yoda then attempt to kill the Sith Lords, with Yoda engaging Sidious in combat, and Obi-Wan fighting Vader. Yoda fights Sidious into a stalemate and is forced to flee at the last moment and escapes; where as Kenobi defeats and mortally wounds his former apprentice, leaving him to die; however, Vader is rescued by the Emperor and fitted with the black life-support suit he wears for the remainder of his life. Realizing they are in no position to oppose the Empire for the time being, Kenobi and Yoda go into hiding. Additionally, they decide that Luke and Leia, the children of Anakin and Padmé (who had died giving birth to them), would need to be raised separately and in hiding to protect them from Sidious and Vader. Bail Organa volunteers to adopt Leia with his wife on Alderaan. By Yoda's decision, Luke would be raised by Anakin's stepbrother, Owen Lars, on Tatooine, while Kenobi watches over him from a distance. Yoda, for his part, chooses exile on an uninhabited planet in the Dagobah System, where strong dark side energies would mask his presence from the Emperor.
Expanded Universe 
The Expanded Universe indicates that other Jedi also survive the initial stages of the Purge, though few of these Jedi live to see the fall of the Empire. Some Jedi leaders had no clones in their squadron, affording an easy escape. In some instances, clone troopers that had developed individual self-identity played a key role in the Jedis' survival. Survivors include Quinlan Vos, General Rahm Kota, Kazdan Peratus, A'Sharad Hett, K'Kruhk, T'ra Saa, Tholme, Jax Pavan, Corwin Shelvay, Kai Hudorra, Dass Jennir, Na Noirrah, and Kai Justiss. Shaak Ti escaped with some three-thousand boys from the Temple, eventually exiling on Felucia while the boys were disseminated and hidden throughout the galaxy.
According to Timothy Zahn's The Hand of Thrawn Duology, Palpatine begins killing Jedi before the Great Jedi Purge occurs. Shortly after the Battle of Naboo (depicted in Star Wars Episode I: The Phantom Menace), the Jedi Council approved the "Outbound Flight Project." A group of Jedi masters would travel to the edge of the galaxy and attempt to use the Force to punch through the hyperspace turbulence surrounding the galaxy, thereby allowing them to attempt contact with life in other galaxies.
The ship is intercepted on Palpatine's command and all hope of contacting life outside the galaxy ended. It is noted that the Chiss, one of whom would become Imperial Grand Admiral Thrawn, were involved in the interception of this ship. Further details of the Outbound Flight Project were elaborated upon in Zahn's Survivor's Quest and Outbound Flight novels.
In the Coruscant Nights series, Jedi Knight Jax Pavan survives the Purge and goes into hiding in the seedier districts of Coruscant, where he begins operating as a private investigator.
In the strategy game Star Wars: Galactic Battlegrounds, after crash-landing on the planet of Krant, Princess Leia Organa and C-3PO, along with a small group of rebels, discover a Jedi who survived the purge, Echuu Shen-Jon. He helps them win many victories on Krant, then travels with them to the Geddes asteroids to reclaim a Jedi artifact. When they land there, they are helped by a small army of Wookiees. In this mission, Shen-Jon dies at Darth Vader's hand, sacrificing himself so Leia and the other Rebels could escape. It is revealed in the expansion that he exiled himself to Krant after briefly succumbing to the Dark Side and killing Sev'rance Tann (a CIS general who had killed his padawan), at the cost of the lives of many clone troopers and Wookiees.
In the New Jedi Order series, Vergere is revealed as a Jedi Knight from before the Empire. She was sent on a mission to investigate the living planet Zonama Sekot, where she encounters the Yuuzhan Vong. Considering them to be a threat, Vergere convinces them to take her as an advisor and jester of sorts to their Warmaster, Tsavong Lah. The Great Jedi Purge takes place after she leaves with the Yuuzhan Vong. Her connections to the Old Jedi Order prove important in the training of Jacen Solo and allow her to provide Luke Skywalker with a small view of the old order. Before she can finish completely instructing them, she dies protecting Jacen from Tsavong Lah's forces.
In the Dark Times series by Mick Harrison, it is revealed that a never-before mentioned member of the Jedi Order, Dass Jennir, also survived and took refuge on the planets of the Nosaurians and helped them fight off Storm Troopers before helping his Nosaurian friend Bomo Greenbark find his kidnapped wife and child. Once in Dark Times, Jennir mentioned something about his escaping alive because his clone troopers did not receive Order 66.
In the video game Star Wars Battlefront II, some Jedi survive the purge and were sheltered on Naboo by the current Queen. The 501st Clone Trooper Legion then invaded the planet, killed the current Queen and 'adjusted' the government of the planet. All of the Jedi were killed in the invasion.
In the 2008 video game The Force Unleashed, it is revealed that several Jedi, including Jedi Master Shaak Ti, had survived the initial purge, only to be later killed by Vader's apprentice Galen Marek. However, in a deleted scene from Revenge Of The Sith, Shaak Ti was killed by General Grievous and another deleted scene that depicts her slain by Lord Vader in the temple. These scenes are, however, not canon as it depicts Anakin's first face to face meeting with General Grevious, which in the film happens later on the bridge of the CIS ship. The exact number of Jedi who ultimately survive both the Great Purge and Vader is not known.
In the Dark Empire II comic book, a pre-Order 66 Jedi, Kam Solusar, is depicted.