From David Fiedler,
Your Guide to Bicycling.
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Bike spokes are a pretty simple part of your bike. They support your weight and transfer power from the hub to the wheel. Problems with spokes are pretty infrequent, but still do happen from time to time.

The most common problem a cyclist will have with their spokes is the occasional broken spoke. This happened to me with some regularity as I'm what they used to call in boys' jeans sizes, "husky." You'll just be going down the road and suddenly hear a noise like TWANGGG! (and it does sound like that). Even if you don't hear the spoke break, you'll likely feel it, because the your wheel will usually go all wobbly. Sometimes if you mash down particularly hard on the pedals or hit a pothole it can spur spoke breakage too, but usually it just kinda happens.

Spokes break most frequently where the head of the spoke laces into the hub, because the curved head of the spoke is the weakest part and yet still has to bears a lot of the weight and force of power transfer. If you have this happen, stop, get off your bike and inspect your wheel. You want to make sure your spoke isn't flopping around to where it can get entangled with your frame or chain as your wheel turns. To keep it secure, you can tape it to a neighbor or unscrew it from the nipple and remove it completely.

You're okay to ride it a bit longer if necessary to get home, but you don't want another forty miles or continue riding days and days with a broken spoke if you can help it. It puts additional stress and strain on your other spokes (which can then cause them to break prematurely at some point down the road too) and can make your wheel go out of true.

Fortunately the fix is pretty simple: it'll take your local bike shop just a couple of minutes to replace the spoke and it's usually an inexpensive proposition - around a buck for a new spoke and maybe a half-hour's labor if it is a rear wheel spoke that needs replaced and the mechanic has to remove the cassette in the process.

If you're feeling bold you can try replacing it yourself. It's an easy repair if it's on the front wheel or the non-drive side (away from your chain and sprockets) in the back. Here's what you do:

Replacing a Spoke

1. Get a replacement spoke that matches the ones on your wheel. Simply take the broken one in to a bike shop and they'll provide you a match.
   
2. Thread the spoke through the hub, matching the pattern exactly so that it fits the sequence of existing spokes.
   
3. Thread the spoke up through the other spokes, again matching the pattern (over some neighboring spokes, under others) on the way to the nipple. It's okay to bend the spoke a fair amount as you work it into place
   
4. Line up the threaded end of the spokes with the nipple, and using a spoke wrench, screw it into place. Tighten it so that its tension is roughly equal to its neighbors. You can pluck it with your fingers like a guitar string. It should neither buzz (too loose) nor be significantly higher pitch (too tight) than the spokes around it.
   

   Eventually you may want to get the wheel trued, but replacing this one spoke will generally work out fine as long as you follow the guidelines above to determine the proper tension.