It can be implemented as simple as this in a the pixel shader:

float result;
result = shadow2DProj(shadowMap,texCoord+offset[0]);
result += shadow2DProj(shadowMap,texCoord+offset[1]);
result += shadow2DProj(shadowMap,texCoord+offset[2]);
result += shadow2DProj(shadowMap,texCoord+offset[3]);
result /= 4.0; // now result will hold the average shading

The samples are often either taken in a grid-based square around the original sample location or randomly scattered around it.

Optimization:

NVIDIA has built in hardware support for doing bilinear interpolation between four samples.

ATI has fetch4 which will fetch four texture samples at the same time.  

The original paper for PCF:
http://graphics.pixar.com/library/ShadowMaps/paper.pdf

A technique that is similar (percentage-closer soft shadows)
http://developer.download.nvidia.com/shaderlibrary/docs/shadow_PCSS.pdf

A paper including lot’s of shadow mapping information, including different ways to do PCF (the image in this article is borrowed from this presentation):
http://developer.amd.com/media/gpu_assets/Isidoro-ShadowMapping.pdf

1. Render the scene from the lights view and store the depths as shadow map
2. Render the scene from the camera and compare the depths, if the current fragments depth is greater than the shadow depth then the fragment is in shadow

It’s the implementation of it that is hard.

The two big problem areas with shadow mapping:

• Hard to select an appropriate bias (epsilon)
• Hard to get rid of artifacts at shadow edges

Projective texturing ( the method used to transform the fragment depth to the light space (where the shadow map is) for comparision)
http://developer.nvidia.com/object/Projective_Texture_Mapping.html
http://en.wikipedia.org/wiki/Projective_texture_mapping

OpenGL fixed-function pipeline implementation of shadow mapping:
http://www.paulsprojects.net/tutorials/smt/smt.html

A GLSL implementation of shadow mapping (in one of the posts)
http://www.gamedev.net/community/forums/topic.asp?topic_id=316147

Another GLSL shadow mapping shader:
http://sombermoon.com/shadowmappingdoc.html

DirectX9 shadow mapping example with source
http://msdn.microsoft.com/en-us/library/bb147372(VS.85).aspx

Nvidias implementation of shadow mapping with source for both OpenGL and DirectX.
http://developer.nvidia.com/object/hwshadowmap_paper.html

Shadow mapping in XNA
http://www.riemers.net/eng/Tutorials/DirectX/Csharp/Series3/Shadow_mapping.php
http://msdn.microsoft.com/en-us/library/bb975671.aspx

Link to the paper “Forward Shadow Mapping”
http://www.cs.unc.edu/~zhangh/shadow.html

“Shadow maps are a widely used shadowing technique in real time graphics. One major drawback of their use is that they cannot be filtered in the same way as color textures, typically leading to severe aliasing. This paper introduces variance shadow maps, a new real time shadowing algorithm. Instead of storing a single depth value, we store the mean and mean squared of a distribution of depths, from which we can efficiently compute the variance over any filter region. Using the variance, we derive an upper bound on the fraction of a shaded fragment that is occluded. We show that this bound often provides a good approximation to the true occlusion, and can be used as an approximate value for rendering. Our algorithm is simple to implement on current graphics processors and solves the problem of shadow map aliasing with minimal additional storage and computation.”

The original paper and demo with source code:
http://www.punkuser.net/vsm/

Nvidias implementation and description of the algorithm (source code for DirectX10 can also be found on the same page):
http://developer.download.nvidia.com/SDK/10.5/direct3d/Source/
VarianceShadowMapping/Doc/VarianceShadowMapping.pdf

Some more info from the author:
http://forum.beyond3d.com/showthread.php?t=40805