It depends how you are applying it. If you're using a spray can, you just spray on light coats from about a foot away. You want to make pretty quick passes and shake the can while you're doing it if you can. Also, make sure to do it outside or in a similarly well ventilated area/spraybooth.
You can airbrush it as well (the ventilation thing applies here as well). Basically you want an even coat that doesn't obscure detail.
Brush on primer is a little more difficult. I'm not sure of a good primer for brushing on. Any primer you'd airbrush on could likely be brushed on. One of the potential problems would be uneven coverage and brush strokes showing up in the finish.
Whatever method is chosen, many primers are sandable. Which means that after you primer, you can sand it to get a better finish. However, if you clog the details up with a thick spray, there's not a lot that can be done. I currently prime with automotive primer (available at most hardware stores, walmart, etc.,). I have some primer en route to try in my airbrush, but that's still in the mail. I have brush primed when I've painted scale miniatures -- they are quite small and it's often simpler to brush on primer in those cases. I wouldn't think of brush priming a big scale model though.
EDIT - The most important rule of priming -- multiple carefully applied thin coats to get even coverage is superior to one thick coat. Also, make sure it's cured and dried properly.