I find that just sitting on the floor in front of the T.V. and relaxing and doing your stretching helps a lot. Don't bounce! Stretch 'till it feels a little uncomfortable but not so much to where it HURTS. Do it nearly every day. It also is good to have your muscles warm. Personally, I spend 10 minutes in the hot tub first, but 10 minutes of Samba works too!

Someone I know who attends circus school worked for a year to develop the ability to do a split. She basically would warm up, stretch the areas that Dronak suggests, and then would try to do a split. She'd get a tiny bit lower every month, until finally she was actually doing one.

My Pilates teacher is trying to get me to learn to do splits. We stretch the front of the hips, the groin area, and the backs of the legs first. For me the tightest area is just above the knee in the backs of the legs. It's going to be a while, probably a rather long while, before I'm able to do them.