As suggested By Paul, Flippa is a great place to buy and sell websites and you can also use services like escrow dot com to protect yourself as either the buyer or seller in your transactions
I disagree about Flippa being a great place for domains. It's one dodgy marketplace (and this is from someone who has bought / sold hundreds of thousands of dollars worth of domains and websites through Flippa).
But, yes, DNforum, SEDO and numerous other locations exist to sell domains. There are some more suggestions in the comments of this blog post.
First thing is to let potential buyers know it's available.
There are plenty of auction sites around for you to get an idea of asking price, but this is a highly negotiable field.
Connect the domain to a "for sale" message - while you find the right sector to market to.
Forgive my ignorance, but I thought that you cannot own domain names in your own right! I asked this question on another forum the other day, since I would love to buy our website domain outright, but I was informed that you can only lease them!
Domain names are yours for as long as you pay for them which is usually up to 10 years at a time. The owner is the only one that can renew them but should the domain name not be renewed then they will eventually become available for anyone else to buy (register).
Whilst you are the "owner" of a domain name, you can offer to sell the lease to it and the right to renew it ad infinitum.