Also, cap on foam. The release of a little CO2 will drive off an oxygen in the bottle and help keep the beer fresh. If you have perlick taps on your kegerator, there are bottle fillers you can get for about $10 which is basically an insert with a short tube attached. Or with cobra taps, you can just use a plastic racking cane inserted into the tap. I did a small angle cut on the bottom of one of mine so it wouldn't sit flat on the bottom of the bottle.
Whatever method you use, make sure both the beer and bottle are cold and push the beer at a low psi (i.e. 2-3 psi), and fill from the bottom up.
I have a beer gun but still use these methods above if I'm just filling a couple bottles.
edit: This post just made me a Brewmaster General!!