click to enlarge, or see it on Flickr
Aperture: f/3.5 (both frames)
Shutter Speed: 4 seconds (both frames)
ISO: 100 (both frames)
Focal Length: 23 mm (both frames)
First, set up your camera on a sturdy tripod. For the best results, you need to keep the camera perfectly still between shots, otherwise you'll end up with ghosting. For this reason, I chose to shoot inside, because it was a rather windy day. It was kind of dark in this room, which explains the long shutter speed.
Anyway, for digital "double exposure" photos, you don't need to worry about underexposing by a frame or anything like that. Just take two photos with the subject (in the example above, it's me) moving between them.
Then load into Photoshop. I converted to black and white because the color temperature and stuff looked really awful. The technique would probably work just as well in color. Once you have any corrections done (make sure they're exactly the same for each photo), simply copy and paste one photo over the other in a new layer. The blending mode should stay on "Normal." Then change the opacity of the top layer to 50%. This will make a balance between the exposure of your subject in each frame. If you wanted one to be fainter, adjust the opacity accordingly.
That's it! Flatten the image and crop if desired. I think I will be having a lot of fun with this technique.