I've always done it the way 55-willys has stated that is until I had to do my last brake job, I took it to the shop, ha ha, NOT. I got a brake bleeder tool/kit from Auto Zone, it attaches to the bleeder valve, you open the valve with the Master Cylinder full of fluid and pump the lever on the tool and bingo the brakes are done.
Make sure you pump until there is no more air being pumped out and make sure you check the fluid in the Master Cylinder often.
One caliper took a couple of tries until it worked.
Also, buy a good bleeding tool, I got the cheap one and it leaked air and was a little hard to determine if it was bled out.
Do it right the first time !