It depends on what country you live in.

In general, you should contact your local town government. They will either dispatch an archaeological survey team or a local organization to inspect the property. If they find something of importance, they may declare it a historical site or put a hold on the area for further investigations. The next part depends on where you live, as some areas may just seize your land/artefact/whatever, while others will pay fair market value. They also may just release it to you and if it is important enough, local universities or museums will make offers.

As for immediate actions.... just leave it alone. If you were digging a pit or smashed a hole in your wall, you should protect it from the elements. Don't do any DIY preservation or anything clever, chances are you may make it more difficult to preserve. Also, it helps archaeologists if you just leave everything in place. You finding an amazing tomb and then ransacking it would destroy a lot of context which is needed. It's the same when metal detecting. In the UK, they will even pay fair market value if you locate a horde of coins. Please though, don't dig it out. A lot of valuable artefacts out there with no provenance that could have rewritten the history books.