Smudging is an ancient practice that involves burning sacred herbs or resins. It is just one of the many ways to energetically cleanse a space, object or person. Traditionally, smudging is done in a ceremony to cleanse or purify the soul of negative thoughts of a person or place. There are Four Elements involved: a shell representing Water, sacred herbs representing Earth; lighting the herb represents Fire; and the smoke represents Air.
If you are unsure of which herb to burn, listen to your intuition, it always knows best.