I like to make it in the oven, which minimizes spatter (at least outside the oven). I heat the oven to 350, line a large, rimmed baking sheet with aluminum foil and arrange the bacon slices in one layer across the bottom. Then, into the oven it goes for about 15 minutes (I turn it once or twice for even crisping). You can pour the fat from the baking sheet into a jar to keep and use, or wait until it cools and solidifies, and then just wrap it up in the foil and toss. Easy clean-up!

Of course, charticus' method sounds effective (in several ways) too.

Generally not being one to want to interact with people early in the morning, I have found that cooking bacon for a long time in a fry pan over low heat allows one to simultaneously be the most popular person at breakfast (i.e. purveyor of perfectly crisp bacon with lots of rendered fat for eggs) while keeping the morning chatters away by staring over-intensely at the bacon and encouraging others to keep a safe distance from the threat of rogue bacon splatter. It's a winning technique until my morning coffee kicks in.