In a face-to-face sale, I'd document the sale with a bill of sale as noted earlier, with both peoples' name and contact information. If you sell on a website auction or WTS forum on a site like this one, then the gun will have to go to be shipped to an FFL. In that case you'll have a copy of the FFL you sent it to and he'll have to do the paper work on the other end for the transfer. So you'd have a paper trail there also. The downside is the high cost of shipping it overnight and the auction fees, if any.
The easiest way is to trade it or just sell it outright to a reputable dealer. Gander Mountain was mentioned previously. I have sold directly to them on a couple occasions. They calculated what they could sell it for, then gave me 70% of that figure. You take a decent sized hit there. But you also aren't paying the $60 or so dollars to ship it somewhere either.
Depending on what you sell, you kind of have to weigh all that out and decide which way makes most sense. No matter how you do it, I'd get a paper trail to cover yourself should the gun ever show up in a crime scene.