Whether you are participating in MoveYourDomainDay or just want to get away from the terrible user interface that GoDaddy uses, there are a few good things to know.
1. Make sure your whois info has a proper email address listed. DO NOT change anything else or you risk locking up that domain for an additional 30-60 days.
2. Unlock your domains with the GoDaddy DomainManager.
3. Send authorization codes via email to the administrative contact by choosing Send By Email under the Domain Info area of the DomainManager.
If you are switching over to NameCheap, they offer great instructions on their site here. Currently, to entice additional business and to fight SOPA, NameCheap and Gandi.net are donating a portion of each domain transfer to the EFF.