To power an Arduino externally, a power plug is needed (unless you solder wires to your Arduino).

Quick specs:
5.5 mm outer – 2.1 mm inner pin
center positive
7-12 volts (recommended) *
6-20 volts (limit) *

* Be carefull with external power supplies! Measure the output voltage before connecting the Arduino, since external power supplies can supply much higher voltages when they have a low load, even though the adapter is rated at a lower voltage! This can destroy your Arduino!

From the Arduino website:

“External (non-USB) power can come either from an AC-to-DC adapter (wall-wart) or battery. The adapter can be connected by plugging a 2.1mm center-positive plug into the board’s power jack. Leads from a battery can be inserted in the Gnd and Vin pin headers of the POWER connector.”

Caution: if you use a power supply with a high output voltage, the Arduino dissipates a considerable amount of power. Please keep track of the temperature (the regulator might become very hot), or use a power supply with a low as possible output voltage (7 volts recommended). Driving the power supply of the Arduino to its limits may destroy it.

Caution2: unregulated power supplies have the habit of outputting far more than their rated voltage at low loads. To prevent problems, measure the unloaded voltage of the power supply before connecting an Arduino.