Static Electricity is a familiar electric phenomenon in which charged particles are transferred from one body to another. When you rub your hair or a sweater against a balloon, charge transfer occurs, and Static Electricity is produced. In simpler terms, if you rub a balloon against your sweater, the balloon will steal electrons from the sweater, which leaves the sweater positively charged and the balloon negatively charged. The balloon will most likely be attracted back to the sweater because opposite charges attract. The reason that the balloon will stick to the wall is because the negative charges in the balloon will make the electrons in the wall move to the other side of their atoms (like charges repel) and this leaves the surface of the wall positively charged. Because opposite charges attract, the negatively charged ballon will be attracted to the positively charged surface of the wall.
Something interesting that I stumbled upon while doing this research was some different materials that cause a lot of static electricity are rabbit fur, human hair, cat fur, glass, and dry human skin!
http://phet.colorado.edu/en/simulation/balloons <------- This website has a great simulation that shows more of how Static Electricity works, I know when I first learned about static electricity, this simulation helped me to visualize how it works.