You use the [$expand][1] query option.  For example, a list has a lookup field, `LookupField`, and in that list are two fields you want to pull with the query, `Field1` and `Field2`.  REST query should be as such:

    /_api/web/lists(guid'<guid>')/items?$select=Title,LookupField/Field1,LookupField/Field2&$expand=LookupField

[1]:http://www.threewill.com/using-the-expand-odata-query-option-in-sharepoint-2013/