It's an adventurous and free way to travel. I've traveled this way extensively in the United States and across the globe. I've gotten to where I was going, and sometimes to great places I wouldn't have discovered if not for the amazing people that picked me up along the way. The conversations, the generosity in terms of food, supplies and accommodations - all of it - amazing.
It's easy to do. Go to the road and stick your thumb out. Alternatively, hold up a sign with your destination. Enjoy the trip.
Useful information on hitchhiking
Video: Some hitchhiking tips
Stories: My most recent posts involving hitchhiking
I don't always use signs, sometimes a thumb is good enough and actually can result in getting rides good distances from folks who otherwise would have said, "Damn, wish I was going all the way, I guess I can't help".
Sometimes a sign is the best way to go, like in busy areas where people are going in all kinds of directions, or when you're getting pretty close to your destination. You can make a whiteboard hitchhiking sign that folds down to a pocket size, use this easy tutorial, then you're not looking for cardboard all the time and you can change your sign on the fly to adapt to the vibe.
Where to sleep
Camping off the side of the road, staying with friends, using couchsurfing.org, staying with people who pick you hitching - these are some of the places you may end up sleeping for the night.
Guide: Where To Sleep While Traveling
Video: Where to sleep
What to eat
It's always best to have a stash of food in your pack that can't go bad. Basically, granola bars, ramen, rice, etc. Have things you don't need to cook, as well as some things to cook when you have the chance. Don't overdo it. Some people who pick you up will go above and beyond, more than just giving you a ride they may offer you a meal or to pick up snacks at the gas station. Don't count on it, but you'll likely experience this if you travel enough.
What to pack
You can get away with traveling with nothing if you so desired, but there's several things that can make your traveling more comfortable and your options more plentiful. From clothing for different climates, ways to stay dry, hygiene and camping supplies and laptops. The first video is one look at what was once the ever evolving contents of my pack, the second is a more recent look along with some general hitchhiking tips.
Video: What's in my backpack
Video: Packing tips & more hitchhiking advice (updated)
Videos showing how you can use Google Maps to your advantage while hitchhiking.
Finding a good initial spot to hitchhike
Finding stealth camping
Understanding different kinds of roads in terms of where it's ok to walk
Hitchhiking from Los Angeles to New York City
Money's role in non-stop travel