Forums are very complex pieces of software – beware. But there are a couple of solutions that will work well with WordPress.
One is called bbPress and you can install it as a plugin (search for bbPress under Plugins – Add New). It’s made by a similar community as WordPress.
Another one I can suggest is called SimplePress (http://simple-press.com/) but it’s uglier and not as easy to setup. I’ve never quite warmed to it.
My favourite one at the moment is Tal.ki – it’s the easiest and most lightweight forum option I have ever come across. It’s one line of code that you embed and your forum is ready. It’s available for free and integrates with WordPress really well (search for Tal.ki under plugins for seamless integration).