There are two methods I typically use.
Heat the leg from the bottom of the board, you may have to apply a very small amount of solder to melt the connection. Quickly tap the board upside down on the bench, usually the leg will pop right out.
Fire up your solder sucker and remove the solder and usually the leg from the top of the board. The reason for going from the top is the leg is usually a bit wider at the top and won't drop through. When I do this, I trim the leg as close to the board as I can first using a pair of flush-cut clippers.
Some people swear by solder braid, but I usually end up swearing at it for these tasks. 
