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Bash (Bourne Again SHell) is a Unix shell and command language written as a free software replacement for the Bourne shell (sh). It is the default login shell on most Linux distributions and macOS (until Catalina).
.sh. While not strictly required for execution, .sh signals intent and lets tooling treat the file as a shell script.
A shebang line, e.g. #!/usr/bin/env bash or #!/bin/bash, which tells the kernel which interpreter to invoke.
chmod +x script.sh (or chmod 755 script.sh).
./script.sh. The dot-slash is required because the current directory is not normally in $PATH.