Here, courtesy of CHOW (where there are many short, to-the-point, techniques videos), Michael Symon shows you how. I do this over a bowl so I don't lose any juice. Additionally, if there are any significant fleshy bits on the peel I have removed, I squeeze those for the juice as well as the remainder of the left-over pith after I've removed all of the segments.
An alternate method that looks very pretty in some presentations is to complete cutting off the peel and pith, slice the citrus lengthwise, remove (by hand) any pith in the middle and slice the citrus thinly cross-wise in half wagon wheels.
Oh yeah - zest your citrus before you do any cutting. Even if the zest isn't called for, you can freeze it in a freezer bag (removing as much air as possible). Over time, it loses a little 'oomph' but not too much. This delicious Moro Blood Orange came from Will's Avocados (at the S.F. Ferry Plaza Farmer's Market).