This is a highly personalized issue, but there are some general aspects that apply to pretty much everyone.
Please review this site’s section on family issues for more information on this sensitive topic.
For detailed advice, please see the coming out info for early transitioners.
Coming out about your gender: first-hand reports
Paradox Faerie has a nice selection of links and a good overview. [archive]
Tucker wrote a nice piece on the difficulties. [archive]
Gianna Israel has a nice piece on telling parents.
Jennifer Reitz has a great piece on why you should come out: http://transsexual.org/Out.html
Lisa Lees has a nice selection of transition letters. [archive]
The Human Rights Campaign has put up a nice overview.
Again, go check out the coming out info I wrote for early transitioners for more important information.