I've done my own conversion on a Nikon D80, including cutting my own rectangular filter from a hoya 720 nm 77 mm round filter.

I did something a bit unusual and went so far as to remove the IR filter from the AF sensor module and meters, as well as the CCD itself.

Really, The pure CCD filter swap is pretty easy.

Pulling the filter on the metering sensor is a bit involved.

Removing the filter on the AF sensor is a nightmare - You have to take pretty much Every other component out of the camera, as well as cut-apart several glued-together parts millimeters away from delicate circuitry.

Retuning the AF is also pretty simple. Basically, there are three screws which adjust the distance and tilt of sensor mount. It just is a bit slow, takes a lot of exposures, and is rather fiddly.

On the other hand, I have an IR camera that AFs perfectly in IR every time.

The meter seems to work pretty well as well. I have to dial in a bit of exposure compensation, but I don't think I have actually changed it since. I believe that adding visible-light filters to the metering sensor (rather than just removing the IR filter, as I did) would probably fix the metering.

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Really, IR photography is really one of the most enjoyable things I have done.

It seems to bring some of the art and imagination back to photography. You really have to think and imagine what your exposures will look like, since you can't really review them untill you get to a computer, to do some white-blance corrections.

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Update:

I took photos of the conversion process, including the internals of the camera: http://www.imaginaryindustries.com/gallery3/index.php/album_006/album_002
Note that the sensor filter is accessible very early in the photoset (_MG_1030.jpg, about 15 images in), and the process generally just involves taking the back of the camera, unscrewing a circuit board, and then unscrewing the sensor. The rest of the set is what is involved getting to the AF sensor (Namely, removing EVERYTHING from the camera body. It seems the AF sensor is one of the first parts installed during assembly).

I also tore down a Sony alpha A-200, though I wasn't able to do a IR conversion on it, since the filter is deposited directly on the CCD cover glass. The pictures are also on the above link, or here.
I thought about decapping the sensor (removing the glass), or trying to lap the filter off (it was clearly vacuum-deposited on the surface), but I decided it wasn't worth the effort, and wanted to try a Nikon camera anyways. I still have a bag of cerium oxide around from experimenting with glass-polishing for the lapping process.

Results:

It's my understanding that the really striking false-colour photos, as in Matt Grum's answer, generally take a 900+ nm filter (and lots of post), rather than 720 nm. Also, the photo above has had no processing, excepting a simple click-white white balancing. The faint blue colors are from the sensor itself.

Anyways, I recently bought a Canon 5D, upgrading from a Canon 30D (The Nikon was an experiment, I decided I like Canon's UI much more), so I am probably going to convert the 30D to IR soon, since I have a lot of Canon lenses, while I have only 1 lens for the Nikon.