The leading credit bureaus - Equifax, Transunion, and Experian - all would like you to pay to check your credit report. By US law, however, they have to make it available to you for free. You can view your credit reports from all three agencies, once every 12 months, for free. It is very important to periodically review your credit report and report any inaccuracies or errors, and cancel or close old credit cards or accounts you aren't using anymore. NOTE: closing paid accounts does NOT improve your credit score. Credit scoring values "capacity" - a closed account has zero capacity. Better strategy is to pay accounts down, then continue to use and pay off, use and pay off. CURRENT USE also plays into credit scoring.

[edit] Steps

Go to http://www.annualcreditreport.com
Select your state from the pull down menu, and fill in your personal information.
Request credit reports from all three main credit reporting agencies (Equifax, Experian, TransUnion), as there is no charge.
It is a good idea to have account numbers and loan statements with you at the same time, as the Credit Reporting Agencies may ask you for account numbers and payment amounts to verify your identity.
When you go to each site, be sure to print the report. They will not be sent to you in the mail if you order them online. Equifax especially tries to make this confusing, but there is a link on the first page on the left to print report.

[edit] Tips

Read your report thoroughly for errors
Equifax will generally ask a security question (ie, outstanding loans and payments amounts) for verification.
Instead of ordering all three reports at one time, you may want to stagger them throughout the year since you only get one per company per year.
Another easy way to order your free annual credit report is by use of the AnnualCreditReport phone system. This number is 877-322-8228. No verification necessary on the phone, as long as the Credit Reporting Agencies have your present address.
The reports may also be requested by Mail, using the form found on http://www.annualcreditreport.com
They will all try to get you to pay another $7 - $9 to get your score. Do not buy this unless you specifically need this. This is NOT your credit score! Further explanation: The "score" you can buy from each of the agencies is actually the score each one has calculated for you. The score a Lender will use will be obtained from a credit provider that is affiliated with one of the three repositories. If a lender gets a "triple merge" (3-score) credit report, it will have the correct score from the one repository with which it is affiliated, and an "emulation" of what the other 2 scores might be. The Lender will use (often) the "middle" of the three scores - which may or not match the "middle" of the three actually scores you might pay for from AnnualCreditReport.com!

[edit] Warnings

These companies are not easy to deal with. Often a lot of problems come from people using similar names and addresses as family members. This can cause a lot of confusion between you and the credit reporting companies.
Be careful disposing of the printouts, as they have a lot of personal information. You might consider shredding or burning them.
Do not use the back button, and be very careful when navigating this site. It is very easy to navigate away from your report before you have a chance to print it, and you can't request it again for a full year.