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A primary source is an original object or document -- the raw material or first-hand information. Primary sources include historical and legal documents, eyewitness accounts, results of experiments, statistical data, pieces of creative writing, and art objects. In the natural and social sciences, primary sources are often empirical studies (research where an experiment was done or a direct observation was made). The results of empirical studies are typically found in scholarly articles or papers delivered at conferences, so those articles and papers that present the original results are considered primary sources as well.
A secondary source is something written about a primary source. Secondary sources include comments on, interpretations of, or discussions about the original material. You can think of secondary sources as second-hand information. If I tell you something, I am the primary source. If you tell someone else what I told you, you are the secondary source. Secondary source materials can be articles in newspapers or popular magazines, book or movie reviews, or articles found in scholarly journals that discuss or evaluate someone else's original research.
Definitions adapted from 'Primary and Secondary Sources', Ithaca College Library.
The distinction between types of sources can get tricky because a secondary source may also be a primary source. Garry Wills' book about Lincoln's Gettysburg Address, for example, can be looked at as both a secondary and a primary source. The distinction may depend on how you are using the source and the nature of your research. If you are researching Abraham Lincoln, the book would be a secondary source because Wills is offering his opinions about Lincoln and the Gettysburg Address. If your assignment is to critique Garry Wills' thesis or write a book review of Lincoln at Gettysburg, the book becomes a primary source because you are commenting, evaluating, and discussing Garry Wills' ideas.
You can't always determine if something is primary or secondary just because of the source it is found in. Articles in newspapers and magazines are usually considered secondary sources. However, if a story in a newspaper about the Iraq war is an eyewitness account, that would be a primary source. If the reporter, however, includes additional materials he or she has gathered through interviews or other investigations, the article would be a secondary source. An interview in Rolling Stone with Chris Robinson of the Black Crowes would be a primary source, but a review of the latest Black Crowes album would be a secondary source. Scholarly journals include research articles with primary materials, but they also have review articles that are not.
Just to confuse things further, some experts include tertiary sources in addition to primary and secondary. These are sources that provide a short overview or brief summary of a topic, often digesting other sources or repackaging ideas related to a specific topic. Chief examples are Wikipedia entries, articles in encyclopedias, and chapters in textbooks. This is the reason that you may be advised not to include an encyclopedia article in a final bibliography.