If it's the first time you check-out a repo you need to use
git submodule update --init --recursive
For git 1.8.2 or above, the option
--remote was added to support updating to latest tips of remote branches:
git submodule update --recursive --remote
This has the added benefit of respecting any "non default" branches specified in the
.git/config files (if you happen to have any, default is origin/master, in which case some of the other answers here would work as well).
For git 1.7.3 or above you can use (but the below gotchas around what update does still apply):
git submodule update --recursive
git pull --recurse-submodules
if you want to pull your submodules to latest commits instead of the current commit the repo points to.
See git-submodule(1) for details