Each day of Sukkot, except Shabbat, we take the Four Species. What are the Four Species? A palm frond (lulav), two willow branches (aravot), at least three myrtle branches (hadasim), and a citron (etrog). The first three are tied together.
Taking the four species is an obligation for men. For women it is optional, but the Rebbe encouraged them to participate in the mitzvah as well. The best place to do this is in the Sukkah, but it can be done outside the Sukkah as well.
Take the lulav in your right hand (unless you are left-handed) with the middle, thicker blade (called the spine of the lulav) facing you. Facing east, recite the blessing found in the prayer books. Take the etrog in your left hand, place it against the lulav, and shake it briefly. You have fulfilled the mitzvah!
However, the custom is to move the lulav with the etrog in six directions: south, north, east, up, down, and west.
This same thing is done during the morning prayer, in the part called Hallel, every day of Sukkot, and they are used during the Hoshanot (circles around the Torah reading table).
The unity of the Jewish people is one of the central themes of Sukkot. The Four Species symbolize four types of Jews, with varying levels of Torah knowledge and observance of the commandments. Combining them represents the unity of the Jewish people, beyond outward differences. So, in this spirit of unity, be sure to share the Four Species with other Jews.
Note: On the first day of Sukkot, this mitzvah can only be fulfilled if one owns the Four Species. Therefore, if one wishes to fulfill the mitzvah with someone else's Four Species, the owner must give them to you as a "gift with the condition of their return." In this case, while you possess them, you are their owner, provided you return them afterward.