Last month was my first. Flew out of Tucson,AZ into Redmond,OR on Alaska Airlines - one way (we drove back). No problems whatsoever. I had my XD45 in a COM lock box with a key, and 200 rounds of ammo (~12 pounds worth) in some MTM ammo boxes. The lady at the check in counter asked if it was unloaded and in a locked case, but didn't open to inspect. I asked for and filled out the firearms declaration form, and she put a tag INSIDE my suitcase (I was hoping it wouldn't be a big tag marked "FIREARM" for everyone to see). She asked me to hang around for a couple minutes to ensure the security folks didn't need to have it opened for any reason, but by the time I checked in the luggage for the rest of the family, I was good to go.
I have to admit I was pretty nervous, with it being my first time and all. I actually packed my gun against my wife's wishes (she was really worried that it would result in a major hassle, and we're toting 3 little ones around, so it's understandable). All went well. I'll do it again the next time I fly, provided it's not NYC or CA.