When upgrading ubuntu I usually just change my sources.list and do a dist-upgrade. There is now a utility that essentially does this for you: 'do-release-upgrade'. It replaces all occurrences of the old distro eg. 'intrepid' with the new distro 'jaunty' in your sources.list, downloads packages and tells you to reboot. Nice!
You can also upgrade with the GUI 'update manager', but I found it wasn't very good at reporting progress so I wasn't sure what was actually happening.