Zissou is leash trained. We've gotten to the point where she'll follow me unless she gets distracted, she comes inside and runs up the stairs to my door ahead of me, and she doesn't even notice the leash/harness.
In my opinion, if your cat currently shows absolutely no interest in going outside, it can create the problem that they know what they're missing and for a few weeks after you start taking them out they freak out and meow at the door ALL the time. They calm down after awhile.
Begin by finding a good quality harness that is either a walking jacket or an H-style harness. The cheap ones are a figure-8, and they are two loops that are adjusted through a big honking piece of plastic in the middle. These are less than ideal for many reasons, the most important two being that cats can get out of them and they strangle your cat if you tug on them. An H-style doesn't do this, and IMO the best harness is one that connects to the leash on the back between the shoulders and not the neck. Here is the one I have:http://www.lupinepet.com/cat/index.html
(down the page)
Then, you have to get your cat used to the harness before you even think about going outside. Satai had a good idea to get their scent on it first. After that, put their harness on and fit it correctly. Around the neck, it should be just looser than a collar (two fingers in between, but not snug as a collar is) and the ribcage part should be a little tighter (when the cat breathes in, fit two fingers in just barely).
Once the harness is on and fitted, leave the cat be until she stops acting weird. Some will fall over and refuse to move, some will go psycho kitty, some will attack the harness like a demon, some will be okay but walk all hunched over. It is helpful to give them their wet food or treats or play a favorite game each time you put the harness on. Harness-wearing cats MUST be supervised at all times. Do this again the next day and the next day and the next day and so on.
Once they stop freaking out about their harness-- meaning they do not act any different with it on than with it off-- attach the lead and get them used to being attached to you. If they don't seem super-bothered by it, take them outside. Just open the door, and follow her. If she (he? it doesn't say) wants to sit in the door a while, let her. If she bolts right out, follow her. Stay out for just a few minutes, then bring her back in. Take the harness off immediately. From this point on, the harness should only be on when you are on your walks.
The process of training should take one-two weeks.
A few other tips I've heard:
When you are doing the original getting-comfy-with-the-harness training, do something to help them associate it with being outside, like open a window and let them sit in it.
Also, I've heard that if you carry your cat in and out the door and put them down once outside or inside, they don't think they can just go in and out without you. I think most cats are smarter than that, but it's worth a try.