The 4 species
"And you shall take on the first day a beautiful fruit of a tree, a date palm frond, and an intertwined branchand and willows of the brook; and you shall rejoice before the Allmighty your G-d, seven days" Leviticus 23:40
The Torah commands us to take the lulav and esrog on Succot. When speaking of the lulav and esrog we refer to the four species of plants mentioned in the Torah; the lulav, an unopened date-palm frond; hadassim, myrtle branches, aravos, willow branches; and an esrog, the fruit of the citron tree.
The Citron Fruit - ESROG
 Should preferably be turning yellow rather than strong green. The minimum size should be the volume of an egg -100cc
It should not be pierced in any place. (although essentially as long as no part is actually missing it is still Kosher for the Mitzvah)
 It should not have any black spots that are visible to the eye if held at arms length. 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.
The Palm Frond-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 (39 cm.) long. The straighter the branch, the better.
The Myrtle Branches-HADASSIM
You will need three myrtle branches.  Each branch should be at least 11 inches (29 cm.) long.
A kosher myrtle has a pattern of three leaves coming out from the same point in the branch. This three-leaf pattern must be repeated over at least half the length of the branch. The branch cannot be dried out.
The Willow branches-ARAVOS
You will need two willow branches. The stem should preferably be red. The stem should be at least 11 inches (29 cm.) long. The leaves should be oblong, not round in shape. The leaves should have a smooth edge, not serrated.
The laws mentioned here are wheather the species conform to the laws rendering them kosher, there is however a law of "Hidur mizvah" (beautifiying the mitzvah) and because of this Jews worldwide go to great lenghths and expense to purchase themselves the best they can afford.
"You shall take... the beautiful fruit (Esrog), a palm frond (Lulav), myrtle twigs and willow branches of the stream -- and rejoice for seven days before the Lord your God." Leviticus 23:40
Before Sukkot, we bind all the branches together -- two willows on the left, one palm branch in the center, and three myrtles on the right. On Sukkos we hold this bundle in our right hand, and then lift them together with the Esrog in the left hand. We then shake them all together.