Apart from Sam's answer, the only important aspect of peeling a hard boiled egg is moisture. When the skin under the shell is dry, it sticks to the egg-white.
The best result (100% success) is to crack the shell and place the egg in cold water (I've never tried warm water, but wouldn't be surprised if that works fine as well). After a short while (one minute), start peeling. Whenever the skin is still dry, just dip it in the water.
This method is 'better' than Sam's because you use less water :-)