Well, the first person I came out to was my mother, and I definitely could have done it much better (in my defense, I was still a middling teen then >.> ). I basically just told her that I needed to become a girl, and then effectively went into damage control right away. That went very badly.
After that, I did it over AIM, since its pretty much the medium of choice among most of my peers, and it was easier to manage and organize my thoughts and what I wanted to say, while still being able to respond and talk to them about it. I thought it a rather good way all in all.
Since then... I've been telling people as they start to wonder about various things about me, like my changing appearance. I think I've gotten a lot more comfortable at just telling people about it over time, as I've become more secure about my identity. It really doesn't do much good to worry too much about what the other person may think. Whether they like it or not, you're not going to be able to change for them. It works out most of the time.