Something I just read yesterday, although I've never had a problem with bits sticking in my router like Mrpotato - before putting the bit into your router, spray the shank (that's the part that goes into your router) with Pam or some such spray - I'm betting WD-40 works just as well - and also make sure you don't have any shavings/dust in the collet. Once that gets up to speed, it will slowly glaze any wood or sawdust. That's what will make your bit near impossible to get out.
If you've got this problem, go to a woodworking store (Your Home Depot type store may carry this as well) and get something called "Pitch remover". Home Depot sells Naptha which will do the same, but the fumes are downright toxic, and the stuff DOES take a bit longer to work. Using a Q-tip, dip it in there and go about removing all the gunk you've got built up in there. Make sure to get it all. What looks like a little bit left in there will slowly get all over again.
When you're done with your collet, do the same thing with your bits - the pitch built up on there will make it impossible to get a cut without burn marks, if it doesn't screw up your entire cut!
Once you've got everything done, make sure you clean your tools off after every use - vacuum, blower, airgun, whatever. Get all the dust off.