E.T.
I've sold several domain names. It's not complicated at all. The first thing you have to ask yourself is whether your domain name is in demand or not. If you have kellybrown.com registered, you probably aren't going to be able to sell it because there's no celebrity or company who wants that site. But if you have lovemybug.com, then maybe you're in luck because Volkswagon might want to snatch it up.
So... before you go any further, think about who would want to buy it. Then approach the company. You can send an email to their corporate email address or write a letter. Same for a celebrity - search for their publicist's name and write a letter to him/her.
Once you make contact with a potential buyer, all you need to do is sign over the name and sign a few legal documents. You can find all of the documents online, but there's no need because any company or celebrity will have a lawyer who will want to draw up the contract anyways.
Edited to add: If you have a decent domain name but not something that has an obvious buyer, you can do a domain auction. Try eBay - they usually have decent bidders.
And like the other poster... I'm curious. What's your hot domain name?