Some people make one to remember all the things they've done in a year.
Many others find it a useful way to help them deal with the loss of a loved one by writing down memories of them.
Newsround runs you through how to make your own memory jar for a special person.
Find an empty jar or an object that's large enough to keep notes inside. Check that it's clean and not being used for anything else.
If you want to, you can decorate your memory jar before placing it somewhere all of your family can reach it.
Put some paper and pens next to it. Whenever you or your family remember something about your special person, you can write it down or draw it on a piece of paper, fold it up and put it in the jar.
You can invite other relatives and friends who knew your special person to join in this activity too.
Source: Child Bereavement UK
You'll end up with a container full of memories that you can share with your family and those closest to you.
Or if you're worried you might forget about your special person, you can dip into the container and open some of the messages to feel connected.

Figen Murray hailed the support at a vigil celebrating the 29 year old's life in Heaton Moor Park in Stockport, Greater Manchester, on Sunday.
Mr Hett was one of 22 people killed in the suicide bomb attack on 22 May.
Mrs Murray said his friends were "all very tearful and yet they said the most beautiful things about him".
A Coronation Street-themed cake was among the tributes at the vigil for Mr Hett, who had a tattoo of the soap's stalwart Deirdre Barlow.
Members of his family also wore personalised T-shirts with tributes from celebrities including singer Mariah Carey and BBC Radio 1's Nick Grimshaw.
Speaking in front of hundreds of people who attended the vigil, Mrs Murray said: "I know I've lost a son to this horrible event but they were his friends before and I've gained more sons now."
She also spoke about a hashtag #BeMoreMartyn which was being used to pay tribute to Mr Hett on social media.
"I don't know how that came about and who started it but I'm going to have it tattooed somewhere on my body. I think he's taught us all a lesson how to live life more fully," Mrs Murray said.
Mr Hett's partner Russell also paid an emotional tribute to the "Deirdre to my Ken" on stage at the vigil.
"I feel robbed of my future, but I feel so grateful of my past", he added.
Mr Hett died just days before he was due to fly to the USA for a two-month "trip of a lifetime" for which he had been saving for two years.
A memory jar is where you can keep happy memories in a safe place.
[NEXT_CONCEPT]
The mother of Manchester attack victim Martyn Hett says she feels she has "gained more sons" thanks to the support of his friends.