From Thelemapedia:

The Great Work (lat: Magnum Opus), within Thelema, is the process of attaining Knowledge and Conversation of the Holy Guardian Angel and learning and accomplishing one's True Will. The concept originates as far back as Medieval alchemy, and came to Thelema through Hermetic Magic informed by the Qabalah.

In the Qabalah

The term "great work" does not exist in classic Qabalistic texts such as the Zohar or Sepher Yetzirah. However, the concept appears in the writings of Qabalists throughout the Renaissance:

Do not pray for your own needs, for your prayer will not then be accepted. But when you want to pray, do so for the heaviness of the Head. For whatever you lack, the Divine Presence also lacks. 

This is because man is a "portion of God from on high." Whatever any part lacks, also exists in the Whole, and the Whole feels the lack of the part, You should therefore pray for the needs of the Whole. (from a disciple of the Kabbalist R. Israel Baal Shem Tov) 

The classic Jewish Kabbalist is less concerned about the Great Work as a manifestation of "True Will" than he or she is as a part of bringing the world back to the state which the Creator intended. Thus one finds current Jewish Kabbalistic movements such as the Kabbalah Center in Jerusalem recruiting new "converts" to Kabbalah (such as Madonna) in an attempt to bring each new Kabbalist into their concept of the Great Work. As more individuals come into the Kabbalistic system, the closer the world comes to perfection as was originally conceived in the Kabbalistic scheme.

Eliphas Levi and the Golden Dawn

Eliphas Levi, the first of the modern "ceremonial magicians" and predecessor to the "Golden Dawn" defined the Great Work thus:

 The magnum opus is pre-eminently the creation of man by himself, that is, the full and complete conquest which he can make of his faculties and his future; it is pre-eminently the perfect emancipation of his will. 

The modern incarnation of the Golden Dawn defines the Great Work as "a term borrowed from alchemy's magnum opus. Refers to the path of human spiritual evolution, growth and illumination, which is the goal of ceremonial magic."

Crowley's Interpretation in the New Aeon

Like the Golden Dawn, Thelemites view the Great Work, at least with respect to the individual magician, as being the quest for Knowledge and Conversation of the Holy Guardian Angel. However, Crowley never lost sight that the individual Great Work contributes ultimately to the Great Work of the Universe:

The first condition of membership of the A.'.A.'. is that one is sworn to identify one's own Great Work with that of raising mankind to higher levels, spiritually, and in every other way. (Magick Without Tears, ch. 9) 

It was the practice of Thelemites at the Abbey of Thelema in Cefalu, after "saying Will before Meat," to add the question, "What is the Great Work?" (MTP, ch. 13).

From Self Initiation Into The Golden Dawn Tradition by Cicero:

The very name of the Order-The Golden Dawn-alludes to the shining brilliance of the Eternal and Divine Light, breaking through the confines of Darkness to herald the birth of a new day in the evolution of humankind. The aim of all the rituals and practical magical work of the Golden Dawn is to create a spiritual bond between the magician and the Immortal Self.

The purposes for which the G.'. D.'. was formed were twofold; first, through study, teaching, and organization, to serve as guardian of the Western Esoteric Tradition, and second, to initiate, educate, and nurture those individuals called to carry on the Great Work (that is, to become more than human, and to achieve union with the Divine). For those individuals who are called to the Western Esoteric Mysteries, the Golden Dawn system presents itself as a vital, consistent, and secure method for spiritual enhancement.