The first step in configuring shipping options is the origin address and global options.

System > Configuration > Sales > Shipping Settings

(click to enlarge)

On the above screen, set the address from which your shipments will originate.  Also, choose options for allowing multiple shipping addresses on a single order and maximum quantity allowed when shipping to multiple addresses.

The next step is to configure one or more shipping methods.

System > Configuration > Sales > Shipping Methods

On this screen,  you will have the option of enabling one or more shipping methods, including:

Flat Rate

Flat Rate shipping can be applied at the order level or per item.  Additionally, the amount can be set as a fixed $ amount or a % of the item/order.

Table-Based

Table-based shipping methods allow for the following:

• Weight versus Destination
• Price versus Destination
• # of Items versus Destination

This article provides a detailed overview of the setup process and requirements:

http://www.magentocommerce.com/knowledge-base/entry/how-do-i-set-up-table-rate-shipping

Free Shipping

The Free Shipping option can be used with any of the Real-Time carriers in Magento. Note that once you have enabled Free Shipping, you must set the appropriate method and minimum amount within each real-time carriers configuration.

This article provides a detailed overview of the setup process and requirements:

http://www.magentocommerce.com/knowledge-base/entry/tutorial-boosting-sales-by-offering-free-shipping

Real-Time (UPS, USPS, FedEx or DHL)

Magento has detailed, step by step instructions for setting up each of the real-time shipping methods.

UPS
http://www.magentocommerce.com/knowledge-base/entry/shipping-carriers-ups

USPS
http://www.magentocommerce.com/knowledge-base/entry/shipping-carriers-usps

FedEx
http://www.magentocommerce.com/knowledge-base/entry/shipping-carriers-setting-up-fedex

DHL
http://www.magentocommerce.com/knowledge-base/entry/shipping-carriers-dhl