The word hosanna is associated with Palm Sunday because it was shouted by those who welcomed Jesus as he rode into Jerusalem on a donkey (see John 12.13; the word is used in the accounts in Matthew and Mark also, but not in Luke).  Hosanna is the English spelling of a Hebrew word meaning “save us”.  In fact, the people who greeted Jesus as he entered Jerusalem were quoting these lines from Psalm 118:

LORD, save us (“hosanna”)! …

          Blessed is he who comes in the name of the LORD!  (Psalm 118.25-26).

In late Old Testament times, “he who comes in the name of the LORD” came to be understood as referring to the Messiah, and “hosanna” became an exclamation of praise.  This is probably why these verses were quoted in welcoming Jesus.

In Christian worship, the word hosanna is also used in the Communion liturgy, in the Great Prayer of Thanksgiving, in which the people join in saying,

          Holy, holy, holy Lord, God of power and might:

          Heaven and earth are full of your glory!

          Hosanna in the highest!

          Blessed is he who comes in the name of the Lord!

          Hosanna in the highest!