Banks has described them as looking like "a god's bracelet" hanging in space. Orbitals are hoops of superdense material (called base material, see also unobtainium and diamondoid). On the inside of the hoop, there are continental plates, and above that, atmosphere. At the edges are "edgewalls," which serve to ensure nothing falls off the edge of the Orbital (including its atmosphere), and are hundreds or thousands of kilometers high. Orbitals rotate to generate artificial gravity by centrifugal force, and are sized so that the rate of rotation necessary to produce a comfortable gravity level is approximately equal to one day (ie, a radius of several million kilometers); by tilting the axis of the Orbital relative to its orbital plane, relatively normal sunrises and sunsets are visible from its inner surface.
An Orbital is somewhat similar to a Ringworld, but is much smaller and does not enclose its primary star within itself, instead orbiting the star in a more conventional manner.
It should also be noted that the very popular game Halo by Bungie Software is set on a structure very similar to an Orbital.