New iPhone - How do I move everything from my old one?

In my left hand I'm holding my old iPhone 4. In my right hand I'm holding my new iPhone 4S.
How do I do to make an identical copy from my old phone to the new?
I'm asking you because I have had a lot of trouble with this recently, and now I want to do it correct.
Please advise.
Tia,
/andreas

Thanks for the answers. This is the obvious way to do it, but unfortunately doesn't work.
I have some third party apps whos information doesn't come along (eg Filemaker, Downcast, Omnifoucs).
Furthermore, my messages (SMS) and call history doesn't come along.
What am I doing wrong?

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