If it's the first time you check-out a repo you need to use --init first:

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 .gitmodules or .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

or:

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