The list of publicly known US Currency security features can be found here.
Essentially, they are:
- Each bill has a watermark featuring the same historical figure as the main portrait.
- Use of Color-Shifting Ink on the face in the lower-left corner
- Various Fine-Line printing patterns
- Polyester security thread running through paper
The brand-new (late 2013) bills have completely new designs and sets of security features that can be found here. They are numerous and vary by denomination, so I'll leave them as an exercise for the reader.
If you don't wish to memorize these attributes, you can get an actual 'counterfeit detection pen' for under $5 here. They likely don't work any better than the hacked-one in the currently accepted answer, but I doubt you could re-create one for less.