The Torah says (Leviticus 23:40):

"You shall take... the beautiful fruit (Esrog), a palm frond, myrtle twigs and willow branches of the stream (Lulav) - and rejoice for seven days before the Lord your G-d."

On Sukkot, we bind all the branches together - 2 willows on the left, one palm branch in the center, 3 myrtles on the right. We hold this bundle in our right hand, and then lift them together with the Esrog. We then shake them all together, 3 times in each direction: front, right, back, left, up and down (Sefardim and Chassidim have a different custom for the order). This mitzvah should be performed each of the 7 days of Sukkot, during the daytime.

Before waving the four species, we say the following blessing:

"Baruch ata Adonoy, Elo-heinu Melech ha'olam, asher kid'shanu bi'mitzvo-sav, vi'tzivanu al ni-tilas lulav."

Blessed are You, Lord our G-d, King of the Universe, who sanctified us with His mitzvahs, and instructed us to raise up the Lulav.

To be valid for the mitzvah, the four species must meet certain requirements. Since the details are many and technical, it is not recommended to search through the forest on your own for these species! (Particularly the Esrog, which can easily be confused with a lemon.) A better idea is to purchase a complete set from a reliable distributor in your area. Your local Jewish book store may have "Four Species Sets" with a rabbinical seal certifying their validity.

To be an informed consumer, here are some basic requirements to look for:

ESROG

• Should preferably be turning yellow rather than green.
  
• It cannot be punctured through in any spot, nor can it lack any of its inner skin.
  
• The skin cannot be overly soft, cracked, dry or peeled.
  
• Even a small black dot on the upper part invalidates it.
  
• The shape should preferably be like a tower -- wider at the bottom and narrow at the top.
  
• If this particular Esrog grew with a protruding stem (called a pitom), then that stem cannot be broken off. (However, if the Esrog grew in the first place without a pitom, it is still kosher.)

MYRTLE

• You will need 3 myrtle branches.
  
• A kosher myrtle has a pattern of 3 leaves coming out from the same point in the branch. This 3-leaf pattern must be repeated over at least half the length of the branch.
  
• Each branch should be at least 11 inches long.
  
• The branch cannot be dried out.

WILLOW

• You will need 2 willow branches.
  
• The stem should preferably be red.
  
• The stem should be at least 11 inches long.
  
• The leaves should be oblong, not round in shape.
  
• The leaves should have a smooth edge, not serrated.

LULAV

• Look at the very top of the branch and make sure that the center-most leaf is not split, but rather is closed (at least half-way down).
  
• The top cannot be cut off.
  
• The branch cannot be dried out.
  
• It should be at least 16 inches long.
  
• The straighter the branch, the better.