If they're sitting still, and are very bright, they are planets.
Install Stellarium on a computer or a smartphone. First time you run it on a computer, enter your location in the settings (no need to do that again after the first time); on the smartphone, it deduces the location automatically each time. The program will show you what planets are visible at that time in your place. Drag the map around, zoom in and out, turn on/off labels and stuff - there's a lot to see in that program.
Right now, Venus and Jupiter are visible everywhere, trailing the sunset in the western sky. Mars is a bright dot rising in the East. That's what you're probably seeing.
Satellites are also visible, but they move, most of them pretty rapidly. There are websites and smartphone apps that can let you predict when the ISS (International Space Station) passes above your place. You could go outside and watch it - it's a bright dot moving quickly on the sky.
Following the questions raised by Rob Jeffries, I have completely rewritten my answer:
What is the farthest-away star visible to the naked eye?
Indeed, this question has many defensible answers. It is not just the concept "visible to the naked eye" that is fuzzy. The stars we see are seldom single objects, but rather binary and multiple star systems. Do we allow doubles and multiples? The wording of your question ("let's restrict to individually distinguishable stars") suggests to exclude multiple star systems. But the candidate farthest visible star put forward (Eta Carinae) is exactly that: a multiple. And like most highly luminous stars Eta Carinae is also a variable star. Should variable stars be allowed? Should we allow variable stars that in the recent past were visible to the human aye, but currently are not? If so, do we also allow cataclysmic variable stars? Do we allow novae and supernovae? Apart from all these ambiguities, as stressed by Rob Jeffries in below comments, there is also the issue of (often considerable) uncertainty in cosmic distances. How do we handle these uncertainties?
Let's first define what we mean by "visible to the naked eye". Which stars are visible to your naked eye depends on the light pollution of the site you are observing from and the atmospheric conditions (and obviously also on you eyesight). A so-called "magnitude 6 sky" is often taken as the standard for a good dark site with no light pollution. The threshold stars you can see in such a night sky have apparent magnitude 6.
So we can eliminate a key ambiguity by changing the question into "which star brighter than 6th magnitude is farthest away?".
According to this article :
"The farthest star we can see with our naked eye is V762 Cas in
Cassiopeia at 16,308 light-years away. Its brightness is magnitude 5.8
or just above the 6th magnitude limit."
This answer puts forward a variable star, but clearly excludes supernovae as that would have resulted in much larger distances (more about that later). Rob questions the apparent five-digit accuracy in this answer. A bit of research reveals that the distance figure is derived from the central value in the measured parallax of 0.22 +/- 0.59 mas (milli-arcseconds). This means that we have no more than a 50% confidence that the distance is indeed 16 kly (kilo lightyear) or more.
We should not blindly accept a 50% confidence level. Rather, we should agree on a confidence level that is deemed sufficiently strict for the intended purpose of selecting the most distant star. Yet another ambiguity to resolve!
I propose to use the one standard deviation upper range of the parallax measurement (in the case of V762 Cas 0.22 + 0.59 = 0.81 mas) to derive distances. This gives us an estimated distance of 4.0 kly with a confidence of about 85% that the actual distance is at least this value. (As Rob points out, a more recent parallax measurement for V762 Cas results in 1.18 +/- 0.45 mas. If we would combine both parallax measurements to derive a chi-square estimate of the actual distance, we arrive at a value compatible with 4 kly.)
This results in the conclusion that the often quoted V762 Cas (see e.g. here and here) is unlikely the most distant naked-eye-visible star. For instance, HIP 107418, put forward by Rob as candidate most distance star, has a lower one standard deviation upper range of parallax of 0.62 mas, corresponding to a 85% confidence distance of 5.3 kly.
I do not have the means to analyze extensive star data bases, but offer this candidate most distant naked-eye-visible star: AH Sco, with a one standard deviation upper range of parallax of 0.48 mas, leading to a 85% confidence that its distance exceeds 6.8 kly.
Finally, what answer do we arrive at if we allow for a broader range of variable stars, including supernovae?
I propose SN 1885A at a distance of 2.6 million light years (!) as the most distant single star that was once (almost 130 years ago) visible to the naked eye.
Best Answer
You will see Earth, Venus, Jupiter, Saturn. They are either bright enough, or come closer to Mars than Earth, that there are no complications/calculations necessary.
Uranus is just a naked eye object from Earth (magnitude 5.3-5.9). Its closest approach to Earth, when it is brightest is 17.2 au distant. Mars' orbit takes it closer by about 0.5 au, so you might have thought it would be more visible. But no - on average the visual extinction in the dusty atmosphere of Mars is around 0.5-1 astronomical magnitudes (see this relevant Astronomy SE answer) and this means the gain due to proximity (about 0.1 mag) is wiped out by the extinction. You would be very unlikely to see Uranus unless you had exceptional vision and knew where to look when Uranus was at its brightest.
Mercury is tricky. It is certainly bright enough to be seen from Mars, but would be sepated by a smaller angular distance from the Sun. The contrast between Sun and Mercury would be the same. I think on balance, it would be visible if you looked carefully, since Mercury can be seen from Earth when it is closer to the Sun than its maximum angular distance, though the Martian atmosphere might affect the glare from the Sun differently.