Do this before the first hard freeze. It takes ten minutes and it's the difference between a dry basement and a flooded one.
Disconnect the hose. This is the one people skip, and it's the most common cause of a burst outdoor faucet. A hose left attached traps water inside the faucet where it can freeze — even on a frost-free model that would otherwise drain itself.
Find the shutoff inside. It's usually in the basement or crawlspace, on the pipe running toward that spigot. Close it.
Open the outdoor faucet and let it drain. Leave it open all winter. Any water still in the line needs somewhere to go when it expands.
Drain the rest. If the indoor valve has a small cap or bleeder screw on the side, open it with a bucket underneath. That releases the water trapped between the valve and the spigot.
Cover it. An insulated faucet cover is a few dollars and buys you a margin on the coldest nights.
A note on frost-free faucets. These have a long stem that shuts the water off inside the heated part of the house, so they drain themselves — but only if they were pitched slightly downward when installed, and only with the hose off. Plenty of "frost-free" spigots burst every winter for exactly that reason.
When to call us instead. If there's no shutoff valve inside for that line, if the valve won't close all the way, or if the spigot keeps dripping after you've shut it off — that last one means the valve isn't sealing and the line is still holding water. And if one has already burst, shut off the main and call.