As described in the film,Highlander, The Prize consists of all the power of all the Immortals who ever lived. The Prize awaits the one Immortal who accomplishes the daunting task of surviving all his or her fellow Immortals, winning their final bout, and becoming 'the one,' thus collecting every quickening.
The exact rewards that come with the Prize are unspecified, but are hinted at and referred to in the movies and series as may be including: the ability to dominate all of mankind, the ability to know what mortals are thinking, the combined quickening energy and experience of all immortals, and the ability to render oneself mortal, thus becoming able to bear children. Because of the implied power of the Prize, Ramirez stated that, "The Kurgan...is the strongest of all the immortals. He's the perfect warrior. If he wins the Prize, mortal man would suffer an eternity of darkness."
Within the film Highlander, upon winning the prize, Connor shouted ecstatically, "I feel everything! I know everything! I am everything!" He would later explain it as being "like a whirlwind in my head. But if I concentrate... I know what people are thinking... all over the world. Presidents... diplomats... scientists. I can help them understand each other." Furthermore, he was now mortal, capable of having children, and that he could grow old and eventually die like everyone else.
MacLeod elected to use the Prize in a more benevolent manner than Kurgan likely would have, believing humanity should have the blessings of liberty and communicating with the world's greatest minds and leaders to facilitate the cause of world peace.
According to Highlander II, the prize also allows his winner, in the end of his earthly life, to return to his own time.
Note: Initially, the film, Highlander, was a stand alone with a definitive conclusion in which Connor MacLeod won the Prize and was the last Immortal. The introduction of the series and subsequent sequels rendered that conclusion fluid, or at least only valid in an alternate time line. Within the series universe, Connor was merely the defeater of the Kurgan, and was not the last man standing.