A load bearing wall is one that supports the total physical structure it is a part of, such as supporting the above floors and roof of a home. This is different than so called "curtain" walls which solely exist to provide a barrier between rooms. Knowing the difference is critical, as removing a curtain wall to open up a floorplan is often okay, but removing a load bearing wall is risky to the structural integrity of a home and possibly a local legal violation without leaving a support column or putting in additional joists or other remedies.
The only surefire way to know if a wall is load bearing is to call in a contractor. Ask if a contractor is able to determine that personally though, before bringing anyone in, as even some contractors have to call in specialists in order to make an accurate determination.
Having said that, there are particular things you can look for that indicate whether or not a wall is load bearing or not.
Start at the concrete slab or foundation of your home, in the basement if possible. Load bearing walls typically exert their pressure directly into the concrete. Exterior walls exhibit this characteristic, as they are almost always load bearing.
Above your head, look out for beams. These are often hidden behind drywall, but might be easy to find in unfinished basements and attics. You can also find these on building plans. Likewise, keep an eye out for floorjoists, which indicate load bearing walls anytime there is a perpendicular intersection between the two.
Even if you're sure a wall is a curtain wall and not bearing any of the structural load, also make sure there's no electrical, plumbing or HVAC lines running through it before you grab the sledge hammer and knock it out. This is one case where a professional consultation is a much better idea that attempting a do-it-yourself project.