The 'CV2' or 'Security Digits' are a 3 or 4 digit number written on the back of your card near your signature. They may be preceded by the last few digits of your card number, or the whole card number.
Or on American Express cards, they may be on the front of the card to the right of the card number.
The CV2 number is also referred to by VISA the as CVV2 code, MasterCard calls it CVC2, and American Express calls it the CID.