Are you having play back and forth along the length of the axle? Most likely you need to tighten the cones, which are the circular things on the inside of the hub. You either need a really thin wrench and a normal one, or buy some cone specific ones, or your LBS can fix this really quickly. Illustrations always help if you're still not sure.

edit: If you have quick release then that's not a problem. It's supposed to be a bit loose when not engaged.