It's vital to get them off ASAP as the risk of infection from [Lyme Disease](http://www.nhs.uk/Conditions/Lyme-disease/Pages/Introduction.aspx) increases after the first 24 hours, but the list of ways NOT to do this is probably more important ;-) 

Don't burn it, squeeze it, twist it, or cover it in alcohol/wax/marmalade/whatever.

And -contrary to the accepted answer- if at all possible, DO NOT use tweezers: you need extreme care not to separate the body from the head, or to make the tick vomit it's supper back into you.

Instead I carry a pair of the [O'TOM Tick Twisters][1] in my first aid kit. Practically zero size and weight, and they have worked flawlessly every time, even on the tiniest ticks.

Good advice re. Lyme Disease and Tick Removal here:- http://www.lymediseaseaction.org.uk/about-ticks/tick-removal/

Note that contrary to the name, the tick isn't actually 'twisted' off.
  [1]: http://www.otom.com/how-to-remove-a-tick