What is Bokeh?

Bokeh is the out of focus highlights in your image. They take on the shape of the diaphragm or blades in your lens. This results in the shape of the circles of light changing from round to hexagonal (or similar) in shape when you change your f-stop. A small f stop like f 2.8 will give an almost smooth round circle. A larger f-stop like f 8 will give a more defined shape of the lens blades. If there are 6 blades then it will be a hexagon, if there are 9 blades then it will have a shape showing the 9 sides. See below (the coloured spots are reflections).

Lens Design
Lens design also contributes to the shape of these highlights. The optimum shape is a very smooth circle when your lens is wide open. It is usually characterised by a very wide aperture like f2.8 or lower and often more than six lens blades.
A high quality lens may still have a smooth circle at some higher f-stops too.

Strange Shaped Bokeh
The strangest bokeh is characteriesd by a mirror lens. This lens has a mirror in it to bend the light which allows a long focal length lens to be made into a smaller body. It is then much lighter and smaller. However, there is a small disc in the front centre of the lens that ends up causing bokeh to be shaped like donuts!
There is also a lens that has been designed to have bokeh that look like bubbles!
If you don't have any bright spots of light in your image, then you won't have any highlights or bokeh.