If you are shooting portraits or architecture, it can be very useful to be able to view the images on a larger screen then that on the back of your camera: You can better judge focus, expression, exposure and composition for instance. Not only because the screen is bigger and of better quality (not to mention calibrated!), but also because the software you use might have some visual aids (clipping warning, grid, 100% view, stuff like that)

What do you need

Obviously a camera and the proper cable: USB for most consumer models and the Eos 1D(s)3, Firewire for the Canon 1D(2) and 1D(s)Mk2(n).
Apart from that, you’ll need some software to connect the camera to the computer and some kind of viewer or raw converter.

The software

There are a few options: Capture One Pro is highly regarded, and does all in one package, but the price is fairly steep.
Then there’s Bibble Pro. Quite a bit cheaper and supports more (older) cameras then C1Pro. Both of these support Nikon and Canon. Bibble also supports other brands. Both are available for Windows and OSX, Bibble also for Linux. Neither allow remote control of the camera, but Capture one allows you to fire the shutter remotely.

Free

Lucky for us that Canon also offers a free solution: Eos Utility. It came on the disk with your camera. If it didn’t, or you lost the disk, you can download it, following the instructions here.
Once installed, you’ll also need a viewer. I prefer to use DPP on my laptop, since that’s a dinosaur an old Powerbook G4 with a 12″ screen. Others prefer to use Lightroom. I’ll explain how to use both:

Step by step

First, start Eos Utility and go to the preferences: (Do this before connecting the camera. On my Mac (OSX 10.4.11) at least, it won’t complete start up, and needs to be force-quit otherwise)
Since I use DPP mostly for tethered shooting, I set up my Folder and filenames to be meaningful here. If you use Lightroom, you can skip this name customization.

The name is pretty self-explanatory I think. I use 3 lines for Year/Month/Date, since the preset “Shooting day” will add a few underscores I don’t want.

Again, pretty obvious naming scheme: My initials, the date and a short description.

Then set DPP as Linked Software.

Now for the shooting

Exit the prefs. That get’s you back to the main window. Choose “Camera Settings / Remote Shooting”

You get this: Note that, unlike other tethering software, Eos Utility gives you complete control over the camera. Very, very nice if the camera is at a position where you can hardly reach it (high on a tripod for instance).

Take a shot. If the “quick preview” window opens, click it away, since you won’t be needing that. It will stay gone as long as you don’t restart Eos Utility.
The image will now automatically open in DPP, in thumbnail view.

That’s not my preferred way of working. So I hit Cmd+A (select all) and Cmd+right arrow (open in edit image window; no shortcut for it on PC). That gives me this:

Cmd+T gets rid of the tools. All consecutive images will open in the edit image window now. At whatever zoom factor you choose.
You’re all set. So shoot away.

Lightroom

In Lightroom it’s a bit more complicated different.
Set everything the same in Eos Utility, except of course the linked software. As said, you also don’t need to worry about folder naming, because that is taken care of in Lightroom:

Then open Lightroom. It will open with the images you last edited / imported. Enable Auto Import, and set up a watched folder like this, in the very logically named “Auto Import Settings”:

Note that your images will get moved (not copied) by LightRoom into the folder you specify here. No way around it, so the whole naming scheme for folders in Eos Utility is kinda redundant in this case. I’d strongly recommend using a meaningful foldername. You can use either LR or Eos Utility to manage the filenames, depending on what you prefer.

Take a shot:

Note the image in the background is still the old image. If after the shot you get “No Photo Selected”, click a thumbnail in LR.
That’s it. Lightroom will now keep an eye on that folder, and import every image that lands in there. A bit slower on my laptop then DPP, but it works okay.

The drawbacks

Tethered shooting causes the battery of your camera to drain faster. With some cameras (the 1D comes to mind) that’s not something you desire…
Obviously, you also need to lug a laptop with you, but IMO that’s well worth it.
Lastly: Eos Utility does not like it when the camera goes to sleep, or is disconnected: It’ll crash. No idea why it’s buggy that way, probably because it’s free.