A good writing group that meets face to face (I'll cover online ones another time) can be a writer's best friend: providing feedback, networking opportunities, recommendations, and sometimes just the encouragement to keep on going. Writing in a vacuum is difficult and you may be too close to your own work to see the rough spots.
Getting started: you may know some fellow writers that are interested, or you may find that you have to do some searching. Put up a notice at your local bookstore, for one, and think about where else you might find companion writers: a local college, a church, your library. You might want to put an ad in a local paper or craigslist. Ask around: while your friends and neighbors may not be writers, they may know some other than you.
Once you've got a small group, meet and figure out logistics. How often do you plan to meet and where? Be careful about getting too excited and deciding to meet once a week - too much too soon may cause burnout. What sort of writing is fair game - just fantasy and science fiction, or are you willing to look at more mainstream pieces as well? What about poetry? Essays?
Plan out the process as well. How will people get their work to the rest of the group - pass them out at the preceding meeting? E-mail? Regular mail? A common pick-up point? The photocopy shop? Don't expect people to read the piece on the spot and provide good feedback - some people need time to mull things over and think out what suggestions they'd make.
Establish some rules for critiquing. At Clarion they go around the table and each person has 2-3 minutes to provide their feedback, during which the author can't respond. After that's complete, the author can respond or simply thank the others for their feedback.
Expect personality conflicts. It takes a while for a group of people to get used to each other, and what one person sees as being straightforward, another may perceive as an attack. Work on communication. One useful technique for making criticism sting less is to start with something that does work about the story. Explain why, so the author knows where they're being successful as well as falling short.
Try to keep the group at the same level. A professional writer may find it frustrating to be interacting with someone just starting writing, and vice versa. You'll find it easier if people are at the same skill level and encontering similar problems.
Some groups may choose to do writing exercises together, or work on writing challenges, such as everyone creating a story for a particular anthology or magazine. They may want to incorporate a book group as well; picking a book to discuss in terms of its writing, and possibly working on exercises.
Celebrate each other's successes. The Wordos group of Oregon gives candy to participants who've just sold a story. Use each other's successes for motivation and encouragement and cheer each victory as though it were your own.
