in the sale of domain names, but the one I recommend is click here
You wouldn't normally sell a website - just the domain name, and the selling company acts as an escrow agent. That means that they handle the sale for you, and make sure that they have the money from the buyer before you actually transfer the name. Once the buyer confirms that he/she has control of the name the escrow company pays you the money, less their fee.
You can also sell your right to the name by private treaty, but it's a risky business - you need to be sure that the buyer will pay you if you transfer the name, and the buyer needs to be sure that you will transfer the name once you have the money - that's why most people use an escrow company.
Don't expect to get a fortune for the name unless it's very special - most people expect far too much money for their names, and are consequently disappointed. The escrow company will provide you with a professional assessment of the value of the name for an additional fee.
Transferring the name involves getting the buyer's host to request a transfer from your host. You have to authorise your host to make the transfer, and you may have to authorise the transfer with the domain name registration authority - it depends on which high level it's in (.com or .co.uk etc.)