• You need bright, point lights. Think street lights at a distance or Christmas lights. A big light, like a lamp, won't work.
• Shoot as wide open as possible. You want to make sure that the lights are as blurry as possible, and if you shoot at f/22, you increase your depth of field and decrease this effect.
• If you're close to the lights, focus far. If you're far from the lights, focus near. You want the lights to be out of of focus. You might not want to go all the way to closest-focus or infinity, rather watch through your viewfinder to see where you get the best effect.
• Tilting your lens will crop the shape.
• The effect is the same on both full-frame and cropped-frame cameras.
• Try to find lights that are spaced apart a bit. The bright street lights (University Ave in Berkeley, CA) in the example shots below are too close to one another, and they blend into a streak of light instead of individual stars.

Progressively defocusing with a Canon Rebel XT and 100-400mm lens at 400mm, f/5.6.

The Rebel XT images

The 1Ds images at 400mm (equivalent focal length to the Rebel)

The 1Ds images at 250mm

Comparing f/5.6 (top) to f/22 (bottom) with a Canon 1Ds (100-400mm at 285mm)