The Rabbit's Foot is a cursed object which can give anyone who touches it incredibly good luck; so much so, that when Sam had it, two people he was fighting knocked themselves out by accident and when Dean had it, no bullets could touch him despite the close range. However, the catch is that if someone inevitably loses the rabbit's foot, the luck turns bad and they die in the next few days, unless they reobtain it to turn their luck around again. Apparently, the only thing the foot doesn't raise one's luck at is the current owner's chances of keeping the foot in his or her possession indefinitely.
The rabbit's foot was apparently made by cutting it off a rabbit in a cemetery, under a full moon, on a Friday the 13th. The curse can be broken by destroying the rabbit's foot - the ritual involves burning it in a cemetery with bone ash and cayenne pepper.