All birds eventually molt (shed and replace their feathers). 

Out With The Old, In With The New

This is pretty much an annual process.  Canaries molt in the autumn, triggered by the decreasing hours of daylight.  Parrots molt a feather here and there throughout the year, but then have a "big molt" where they replace a large number of feathers.  This "big molt" can last quite a while - the rule of thumb is pretty much this: the larger the bird, the longer the molting period.  This "big molt" time normally happens at the end of the breeding cycle (that's true for all parrots, I believe).  

During the "big molt" you'll see a lot of down feathers shed in a short period of time (in addition to wing and tail feathers) and lots and lots of dander. But there won't be a point at which you'll look at your bird and notice things are missing.  He'll never look bald or have noticeable, obvious gaps in his feathers. 

One interesting thing you'll notice is that the feathers tend to drop symmetrically.  That means that if the 3rd flight feather on the left drops today, the 3rd flight feather on the right will drop soon, too.  It's nature's way of keeping the bird's flights balanced so that he doesn't have trouble flying because one side has more lift than the other.  

All feathers are eventually molted and replaced.  Wing, tail, tummy, legs, neck, even the little black pin feathers on his cheeks.  You'll swear you've got enough feathers to make a whole new bird!

Itchy, Cranky, PMS

As the new feathers grow in they are covered with a thin hard membrane which protects the feather as it grows.  After a while this membrane dries out and falls away (or the bird picks it off).  The membrane is itchy - and your bird will really appreciate a nice head scritch (because he can't reach those feathers himself).  You can gently (GENTLY!!) press the membranes and if they're dry and ready to come away, they'll crumble with the pressure of your fingertips.  But don't force it, and don't be tempted to mess with the membranes on tail/wing feathers - they are too tender AND the feather can be damaged if you pull the membrane off prematurely.  Let your bird decide when to remove the membranes on tail/wing/back/tummy and any other place he can reach for himself. 

Some macaws get a little cranky during the "big molt".  Extra bath time can be helpful (helps the shafts to dry out, washes away the itchy dander).

I've noticed that tail feathers seem to be especially tender.  One day I was holding Jesse (my first large macaw) on my lap.  She's normally a pretty gentle bird - but suddenly she started to scream and thrash wildly.  It was, honestly, a slightly scary moment - I didn't know what was wrong and was fearful for a few seconds that she might bite me really hard.  But then I noticed a tail feather fall to the floor - and she calmed down immediately.  I hadn't been touching her tail and was a bit surprised that having a feather just fall out would cause her discomfort, but it clearly had.  Since that time I experienced that with her several times - and Laka (my B&G) has the same reaction when she drops a tail feather.  I've not heard of this happening from any other macaw owners, but have seen it in mine if I happen to be there when the tail feather drops.

Dietary Considerations

The experts seem to agree that molting season is a good time to increase protein in your bird's diet.  I'm sure Laka would just love a nice juicy steak, but that's a bit out of my budget.  Instead, she gets regular serves of cooked beans (legumes) mixed with veggies and fruit.  The beans ensure a regular supply of protein.  Steve Hartman of Hartman Aviary has an excellent regimen which he calls "The Circus Diet".  It includes a recipe for a bean mix that you can make in a crockpot/slow cooker.  I cook up big batches (2-3 week's worth) of this and freeze it in 2-3 day portions.  It looks complicated but if you try it you'll find it's actually pretty easy.  Just do be very careful to refrigerate or freeze the beans (legumes are lovely, nutritious food but are notoriously quick to grow mold and bacteria if left at room temperature).