In the most basic example, u corresponds to some expression while du corresponds to the derivative of that expression. The main idea is to look for this pattern and eventually integrate.
Example:
1. \int 2x \sqrt{x^2+4} \: dx
Let
u = x^2+4, then du = 2x \: dx, thus you have the form
\int du \sqrt{u} \: or simply \int du \: u^{1/2} \:, and then you integrate:
\int 2x \sqrt{x^2+4} \: dx = 2/3(x^2+4)^{3/2} + C
The best tip I could give you is to practice a lot and try to identify these patterns quickly. However, it may not be as easy and obvious at first glance, and sometimes algebraic manipulation or other things may come in handy before integrating. If it would be a 4x instead of a 2x then what would you do?
More examples:
2. \int \frac{ln(x)}{x}\: dx
3. \int {sin(x)}^{3} \: cos(x) \: dx