Your Xbox Live Gold membership gets you free Games with Gold every month: two on Xbox One and two on Xbox 360.
Go to the Gold members' area on your console to download your games. Games show up on the 1st and 16th of every month.
Or, go to Games with Gold on Xbox.com to queue your games up for download to your console.
You'll need an Xbox Live Gold membership to claim your games. Xbox One games are yours to play as long as you have an active Gold membership, and Xbox 360 games are yours to keep.