well, the great big banner on godaddy's home page says "6.95 .com transfers", so no it's not "free", but they do give you one year registration extension with that, so it could be argued that the transfer costs you nothing in the end.
it's simple to do, just make sure your domain meets the requirements* for transfer before starting or you will probably have to get a refund and then try again later.
*main requirement is that the domain has not changed registrant in the last 60 days, you'll also need to make sure that you can receive emails sent to the email addresses on the whois (which you should anyway!)
edit: good point fab, yes some registrars really don't want to let you transfer out.