I have heard that a cardboard box should work just fine -- much cheaper than buying a special box just for the bike, although if you plan on traveling with your bike much, a special plastic box made for holding your bike might be worth it.

Bicycling Magazine has bike packing suggestions here: http://www.bicycling.com/article/0,6...1060-1,00.html

Couple other thoughts:
1. Don't lock it, since the TSA will want to look at it, most likely;
2. Let the air out of your tires before you fly -- you don't want any flats from air pressure changes!
3. Shipping bikes is expensive however you do it. Airlines will be charging big bucks for oversize/overweight packages, and I know from experience that shipping with FedEx/DHL/UPS-type people costs about $125 each way if you go from Boston to Seattle, the cheapest possible shipping. Ouch.