On Sukkot we joyfully wave and shake the four species: a palm branch [lulav], a citron [etrog], three myrtle branches [hadas], and two willow branches [arava]. The four species comprise three different types of branches and one fruit. They are some of the most beautiful plants of the Land of Israel and represent the Israelites’ emergence from the wilderness and entrance into the Land of Israel.

Why do we wave the four species on Sukkot?

It seems to me that the four species of the mitzva of lulav represent joy and delight at having emerged from the wilderness, which is: “Not a place of seed, or figs, or vines, or pomegranates, and there is no water to drink” (Numbers 20:5), and their having arrived at a place of fruit trees and rivers. Therefore, one holds, as a reminder of this, the most beautiful fruit of all, the citron; the one with the best fragrance, the myrtle; the one with the most beautiful leaves, the palm branch; and the most beautiful plant, that is, the willow of the brook.

The unique characteristics of the four species:

These four species possess three advantageous qualities: First, they are very common in the Land of Israel during the season of Sukkot, and are accessible to everyone. Secondly, they are beautiful and fresh, and some of them – the citron and the myrtle – have a pleasant fragrance, while the palm branch and willow have neither a bad odor nor a fragrance. Thirdly, they remain fresh for seven days, which is not the case with regard to peaches, pomegranates, quinces, pears, or the like. (Rambam, Guide of the Perplexed III:43)

Further reading: Read about how to choose the four species in A Concise Guide to Halakha, p. 180.