A market order is an order to buy or sell a security at its current, or market, price. The price you pay or receive is dependent on how quickly the trade is executed and how much current demand there is for the stock.
Market orders are filled immediately during market hours at the best available current price; no price can be specified in this order. This order guarantees execution, but does not guarantee execution price.
Buy market orders are generally executed at the ASK price. This is the lowest price that sellers will accept for their shares.
Sell market orders are generally executed at the BID price. This is the highest price buyers are willing to pay for the shares.
Market orders essentially bridge that spread. A buyer pays what is asked by the seller rather than the lower price set by other buyers, and the seller takes the price offered by buyers rather than the higher price set by other sellers.
Many investors are wary of using market orders on stocks with a low average daily volume. In such market conditions, the ask price can be a lot higher than the last trade price reflected in the stock quote. In other words, you may end up paying more than you originally anticipated.
Also consider that market orders placed outside regular trading hours will be executed at the next day's opening price. The opening price on a given day is not necessarily the same as the closing price on the previous day, so after-hours orders may be executed at a significantly higher or lower price than you intended.
Market orders cannot contain special instructions such as All or None (AON) or Good til Cancelled (GTC). Again, there is no guarantee of the execution price, and it can be several points higher or lower than the quoted bid/ask, especially during fast moving markets.