Monarch butterfly migration is the phenomenon, mainly across North America, where the subspecies Danaus plexippus plexippus migrates each summer and autumn to and from overwintering sites on the West Coast of California or mountainous sites in Central Mexico. Source: Wikipedia
Roughly half a million butterflies migrate each year, but no individuals make the round trip. Four generations are involved in the annual cycle, so there is no possibility of the offspring somehow 'learning' the route. It is currently unknown how they navigate (and how they judge the correct timing). One theory is that they may be somehow 'marking' the route with a chemical markers.
Further info: monarchwatch.org