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I am trying to build a model for speaker identification, and I understand that the first step is to extract the features from the audio signals that are in my database. I have done quite a bit of research and cant find how to do this extraction and to which features. How do I select which features to extract to? what would be the algorithm? Can someone please point me to either an algorithm that I could implement or a sample matlab code?

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For speaker recognition, the features you should probably start with are MFCC.

There are libraries offering MFCC extraction modules, such as YAAFE, aubio (C/C++), the MIR toolbox or Dan Ellis' implementation (Matlab) - and of course speech recognition frameworks (Sphinx, HTK) provides MFCC extraction tools.

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