It mostly depends on which Macs; 2 similar machines (age & OS) is fairly simple.
If they both have firewire ports, a firewire cable is all you need.
If they are different hardware (say, a G4 and a 68030 Powerbook 180) then Ethernet works.
If they are similar, older computers, then use the Serial Ports (printer port) and use AppleTalk.
If you want to share printers, the net, etc., that can complicate things but in general use Ethernet.
Start by searching Help in the Finder. If that's not enough, post back with the hardware/OS of each machine and tell us what you want to do (share files, create a full blown permanent network, etc).