[This question comes up most frequently with reference to ALH 84001,
the Martian meteorite that has been suggested as carrying evidence of
past Martian life.]

Most meteorites are thought to originate from collisions between
asteroids in the asteroid belt.  However, a small number have
characteristics suggestive of a Martian or lunar origin.  Why do we
think this?

The short explanation is that we can compare the composition of a
meteorite to what various space probes and missions have told us about
the composition of Mars (or the Moon).  Moreover, in the case of a
candidate Martian meteorite, it may have small pockets of gas trapped
within it, which can be compared to the Viking measurements of the
Martian atmosphere.  Finally, it is possible to simulate launching a
small piece of rock from Mars or the Moon (say, from an asteroid
impact) and determine its path through space.  Because of
gravitational perturbations from other planets (notably Jupiter and
the Earth), such a small rock could find its way to Earth, on fairly
short time scales even (a few million years or so).

For more details, see "On the Question of the Mars Meteorite,"
<URL:http://cass.jsc.nasa.gov/pub/lpi/meteorites/mars_meteorite.html>
and Michael Richmond's archive of postings by James Head (from the
Lunar and Planetary Institute) on this topic,
<URL:http://a188-l009.rit.edu/richmond/answers/martian.html>.

Finally, the meteorite Northwest Africa #11 (NWA011) has a composition
similar to that of many Martian and lunar meteorites, but some
important differences as well (notably in the amount of oxygen).  This
has led some to speculate that NWA011 might be from Mercury(!).