With the engine cold, open the radiator cap and fill almost to the top. Turn the car on and let it get warm so it opens the thermostat. You will see the water start to rise and bubble. The lower hose will get hot while the upper hose will stay cool until the thermostat opens, then you will feel the upper get hot as the water level goes down. When the thermostat opens and the coolant level drops, top it off and put the radiator cap back on.
I do it as Chris noted. I will park on a little hill so the rad neck is the definitive high point in the system.
PLEASE BE CAREFUL OF SCALDING-HOT COOLANT SPEWING OUT OF THE RADIATOR NECK. It's not a bad idea to stuff a rag or something over the neck to help 'catch' any spray.
I usually do what Fett said. Then i go for a quick drive to get the RPM's up (to spin the water pump and move fluid) and then go back and park the car til it cools off. Usually any trapped air accumulates in the radiator. The normal expansion and contraction of the coolant forces the air into the bottle and draws coolant in when it cools. But usually the first few times i pop the cap when it cools to check the level and add some. Usually i get it all the first time and it adjusts itself.
I've tried it all and had probs still. Here's a do-it-once and NEVER have to bleed your system again!
-Pull out thermostat
-Drill a 1/4" hole or two on the flat part (let's air escape the system)
-Clean off thermostat
-Put thermostat in pot and make sure it opens at the correct temp
-Install thermostat using RTV or gasket, whichever works for you
End Result
System will always self bleed and will never have to worry about this again, regardless of how many times you drain and fill the coolant!
Just my .02 as I've drained and refilled my coolant about 25 times and this was a solution I would have paid $100 for.
The issue is that while the system does self bleed, it can take forever to occur to satisfaction. We expedite the process.
Most decent t-stats come with a jiggle valve, which is akin to the holes that Matt referenced.