Take the golf club in your left hand. Place the small finger of your right hand in the gap between your second finger and your middle finger. Your thumbs should be in alignment down the shaft of the club. You should see a "V" when you look down at your thumb and forefinger. This is the most popular grip in the game.
Place the club in your left hand. Place the small finger of your right hand under the second finger of your left hand. Make sure the thumbs line up under each other. This grip is excellent for developing distance. It may feel awkward at first, but once you get used to it, it is quite effective.
Take the club in your left hand, and put your right hand underneath it. This is the same way you would hold a baseball bat, hence the name. This grip will not give you the same security with your grip, but it will leave you with a feeling of ease and freedom.