Rocket jumping seems to be one of the most important techniques in the Soldier's arsenal. How is a "good" rocket jump performed?
You crouch-jump, and shoot a rocket at your feet.
Make sure you're as far as possible from the ground the moment the rocket hits the ground to make sure you're not damaged too much. The last part might take some practising.
By the way, Valve has included a training weapon in the game called the Rocket Jumper. With it, you get twice the ammo and no self-inflicted damage. It's not useful out in the field, really. It can be crafted or bought in the Mann-Co store for $0.49 / £0.29 / €0.49.
(Powerlord mentioned this in the comments to the question above)
As Arda Xi mentioned, if you are crouching when the rocket explodes, you will go higher. In some cases, it's best not to crouch when jumping, like when you don't want to over-shoot your target, or to avoid fall damage.
It takes a while to get the timing down between jumping and shooting; there's sort of a sweet-spot. The setup phase is a great time to practice rocket-jumping.
One way to get a consistent rocket jump is to use a script, which condenses all the key presses into a single command. I provide an example rocket jump script at the end of the post. To use it, copy the text to Steam\steamapps\common\Team Fortress 2\tf\cfg\soldier.cfg and rebind the keys as necessary.
The "alias" lines define the rocket jumping commands (one for regular rocket jump and one for the crouch jump which adds extra height). These lines should not be edited.
The "bind" lines allow you to specify which key you would like to perform the listed action. You can edit the keys according to this list.
// Rocket Jump alias +rocketjump "+jump;wait;+attack" alias -rocketjump "-jump;-attack" // Crouching Rocket Jump (Extra Height) alias +crouchjump "+jump;+duck;wait;+attack" alias -crouchjump "-jump;-attack;wait;wait;wait;-duck" // DO NOT EDIT ABOVE THIS LINE // Bind rocket jump commands bind "MOUSE4" "+rocketjump" bind "MOUSE5" "+crouchjump"