From Sahih Bukhari, Volume 1, Book 2, Number 26:
Narrated Abu Huraira:
Allah's Apostle was asked, "What is the best deed?" He replied, "To believe in Allah and His Apostle (Muhammad). The questioner then asked, "What is the next (in goodness)? He replied, "To participate in Jihad (religious fighting) in Allah's Cause." The questioner again asked, "What is the next (in goodness)?" He replied, "To perform Hajj (Pilgrim age to Mecca) 'Mubrur, (which is accepted by Allah and is performed with the intention of seeking Allah's pleasure only and not to show off and without committing a sin and in accordance with the traditions of the Prophet)."