Many dentists will advise you to leave loose teeth alone for a couple of reasons (besides the potential for pain). If you pull the tooth instead of letting it come out on its own, there's a greater chance that the gums will bleed. There's also an increased risk of infection, some dentists say. Of course, parents have been pulling their children's loose teeth practically forever, so dentists realize that you're probably going to do it anyway -- especially if your kid is freaked out by a dangling tooth or afraid that he might swallow it. There is a right way and a wrong way to go about it, though. Forget what you may have seen on television; running a string from the tooth to a doorknob and slamming the door is decidedly not a painless way to remove a loose tooth!
Encourage your child to do lots of wiggling of the tooth, with either his finger or tongue. You may not need to do any pulling at all. If this doesn't work, only consider more drastic measures if the tooth is literally flopping around in the socket or hanging on by a tiny thread. Otherwise, all of your pulling and tugging will hurt and probably lead to bleeding. If he's up for it, try to get your child to pull his own tooth. Only he can tell exactly how loose it is -- and when the pulling becomes painful. To keep a firm grip on the tooth, use a piece of gauze or tissue, then grasp the tooth and twist it out. You could also let food do the work for you -- have your child bite into an apple (you may find the tooth embedded in it soon afterward) or bite into an ice pop, which can also help to numb any pain.
You may want to check with your dentist to get his take on pulling teeth at home. Sometimes permanent teeth will come in behind baby teeth, creating a double row called "shark's teeth." Occasionally, baby teeth refuse to come out at all and need to be pulled in the dentist's office, although this is rare.
Whether you pull them or not, all of those baby teeth will soon be gone, and your child will have a mouthful of permanent teeth -- and be through yet another rite of passage.