What is Baptism?
Baptism is first mentioned in reference to what John the Baptist was urging the people to do:
Mark 1:1-5 "As it is written in the prophets, Behold, I send my messenger before thy face, which shall prepare thy way before thee. The voice of one crying in the wilderness, Prepare ye the way of the Lord, make his paths straight. John did baptize in the wilderness, and preach the baptism of repentance for the remission of sins. And there went out unto him all the land of Judaea, and they of Jerusalem, and were all baptized of him in the river of Jordan, confessing their sins."
The Bible says that baptism is a public showing that we belong to Jesus Christ. It is being "buried with him", it is God's way for us to demonstrate publicly that we will go all the way with Jesus, that we have confessed our sins and are placing all of our trust in Him. By baptism we confess our faith in the death and resurrection of Jesus Christ, and testify that we are dying to sin and that it is our purpose to walk like Jesus walked.
Ok, so what is "Baptism"? What actually takes place? As noted already, baptism is a public showing that we are completely giving ourselves to obeying Jesus (Jesus says, "If you love me, keep my commandments."). Baptism usually takes place with a number of people watching and the one who is going to be baptized enters a lake, river, pond or pool with a pastor. The pastor usually says a few words about the choices that this person has made in regards to accepting Jesus and then lifts his hand toward heaven and says something like, "I now baptize you in the name of the Father, of the Son and of the Holy Ghost." The pastor then usually covers the persons mouth and nose with one hand (to keep the water out) while the other arm is placed behind the person's shoulders and the person is laid back into the water as if they have just died and are buried and then they are stood up again. This "death, burial and resurrection" represents the death, burial and resurrection of Jesus, but it also represents our death to a sin controlled life, our burial of the past sinful nature and our resurrection to a new life with Christ as our leader. By being baptized we are not saying that we will not sin again, but we are showing the world that we have chosen Another to lead us.

Romans 6:3-5 "Know ye not, that so many of us as were baptized into Jesus Christ were baptized into his death? Therefore we are buried with him by baptism into death: that like as Christ was raised up from the dead by the glory of the Father, even so we also should walk in newness of life. For if we have been planted together in the likeness of his death, we shall be also [in the likeness] of [his] resurrection:"
Colossians 2:12 "Buried with him in baptism, wherein also ye are risen with [him] through the faith of the operation of God, who hath raised him from the dead."
Acts 2:41 "Then they that gladly received his word were baptized..."
For further study, read:
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