First off, you'll need some degreaser (I use the Park Tool Chain Brite, but others have their preferences.) I clean the chain using one of those chain-cleaning things (I have the Park Tool Cyclone), and try not to make a huge mess while doing so. Then I clean the rear cogs with a rag with some degreaser on it. (It's easier to clean properly if you pop the rear wheel off and sort of "floss" between the cogs, but I don't always do that.) Then I clean the chainrings off as much as possible--I don't think there's a good way to do it without taking them off. Then re-lube the chain, and then clean everything else. The body of the brakes gets cleaned off with a wet rag, and then I wipe down the frame, rims, and spokes with Lemon Pledge.
I know other people use a hose for some of it, but I don't always have access to one.