Most homeowners who live in cold climates know it's important to 'winterize' the outside faucets to prevent them from freezing, which can destroy the faucet or lead to a burst pipe. The problem is that many people don't quite get it right - winterizing the outside faucets in the fall seems like a simple thing to do, and it seems like it should be straightforward and easy, but there are a few tricks you need to know to make sure all the water is out.
Garden hoses - First and foremost, disconnect your garden hose from the outside faucet. If you leave your garden hose attached to the faucet, you're asking for trouble.
Frost-free sillcocks with an integral vacuum breaker If you have a properly installed frost-free sillcock with an integral vacuum breaker, you shouldn't have anything to worry about. You should be able to leave the water on to these faucets all year 'round without them freezing. A properly installed frost-free sillcock will have a slight downward pitch, so that when the water is turned off, the water will all drain out of the stem.

When frost-free sillcocks aren't installed with this downward pitch, water will sit inside the stem of the sillcock even when it's turned off. The pitch is a little dramatic in the photo below, but you get the point.

If this water freezes, it can burst the stem of the sillcock. Most homeowners don't know this has happened until the first time they use their faucet in the spring. Once they turn their faucet on, water starts shooting out of the burst stem inside the house, making a big mess while nobody is inside the house to see it. This recently happened to Connecticut home inspector James Quarello while he was inspecting a home. Better him than me, I say.
The fix for an improperly installed frost-free sillcock is to have it re-installed with a slight downward pitch.
Winterizing standard sillcocks With a standard sillcock, the water needs to be turned off and drained out to prevent freeze damage. To do this, you'll need to first turn off the water supply to the faucet from inside the house. Exterior faucets should have a separate shutoff valve inside the house, but not all of them do. On older homes, these valves are typically located at the ceiling somewhere close to the outside faucet. On newer homes, the valves are typically located right next to the main water valve, and they're also usually labeled.

Once the water is turned off inside the house, the outside faucet needs to be opened up. Next, the bleeder cap inside the house needs to be unscrewed - this will allow water to drain out of the pipes. Depending on how the pipe is pitched, the water may drain through the bleeder cap or through the outside faucet. Keep a small bucket handy when you do this, just in case a lot of water needs to drain out of the bleeder. After the water drains out, you can screw the bleeder cap back on and turn off the outside faucet.