Loyalty is an essential component of multi-community engagement. When users have the choice to engage with a variety of different communities, they often become loyal to just one, focusing on that community at the expense of others. However, it is unclear how loyalty is manifested in user behavior, or whether loyalty is encouraged by certain community characteristics. In this paper we operationalize loyalty as a user-community relation: users loyal to a community consistently prefer it over all others; loyal communities retain their loyal users over time. By exploring this relation using a large dataset of discussion communities from Reddit, we reveal that loyalty is manifested in remarkably consistent behaviors across a wide spectrum of communities. Loyal users employ language that signals collective identity and engage with more esoteric, less popular content, indicating they may play a curational role in surfacing new material. Loyal communities have denser user-user interaction networks and lower rates of triadic closure, suggesting that community-level loyalty is associated with more cohesive interactions and less fragmentation into subgroups. We exploit these general patterns to predict future rates of loyalty. Our results show that a user's propensity to become loyal is apparent from their first interactions with a community, suggesting that some users are intrinsically loyal from the very beginning.