I pretty much see it as a mental thing. Close your eyes and visualize where and when you want to be and *pop* there you are. Sort of like Hiro in the show Heroes.
I assume you would be as yourself, dressed as you are now, and I would like to hope that you could somehow control where you appear - it would kind of suck to appear in the centre of a mountain entombed in rock, or in the middle of a battle (would have some 'splainin to do).
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Just read Jazz's comment about showing up in the vacuum of space. That might be slightly worse than my scenario