Let me break it down a little for you:
The command is not GO,
- that is simply describing what's going on while you are doing
- (it's in an aorist, passive deponent, participle for those of you keeping score at home)
- there is no conjunction in the Greek denoting 2 separate commands.
The actual imperative is "make disciples" (aorist, active, imperative, 2nd, plural)
- The how of making disciples is described by two participles "baptizing" and "teaching"
- The nature of the baptism is εἰς (into not just in, which would be ἐν, it's more of a language of participation rather then authority) the NAME (ὄνομα SINGULAR) of the Father and the Son and the Holy Spirit
- (Side note: It's one name that all three share, but not a name that is kosher to say aka יהוה. Keep this in mind whenever New Testament writers talk about The Name. For example this is probably what is being referred to in Philippians 2:9)
- The nature of teaching is to τηρέω (to guard over, actively remain steadfast to a state) the all the commands (this might also be translated orders) that Jesus gave to his disciples.
Image from Issues, Etc. Journal, Fall 2011