Although, I personally am just starting the process of coming out, there are a few things that I have found that I think would help any person coming out.
First, if at all possible, become friends with another gay person and come out to him first. This person will already have been through the process of coming out and could be a person to lean on when the going gets tough. This person will be able to offer advice, and just general consoling when needed. This person should also be able to introduce you to the local gay community so you no longer feel completely isolated.
Secondly, know this process will be hard. You do not need to come out to everyone at once. Begin by coming out to the people you feel would be comfortable with you being gay, but do not be desecrated if the person no longer accepts you. When coming out you will probably lose a few very good friends, but being able to be yourself and the new friends you will gain will be well worth it. Spread coming out over months if you feel you need to.
Third, read stories from other people coming out. Although most of the stories might be very short they should help you realize that you are not alone in what you are going through. One resource I have found for this is http://k.domaindlx.com/comingoutstories/.
Finally, although not required it may help convince you to come out, a very good movie to acquire, even though it is German (I believe?) and subtitled, is Summer Storm. If you have the money and resources I recommend acquiring this movie and watching it before coming out. It helped me and has convinced me all the more to come out.