Seth Godin's Rules of Feedback
The article is in this month's Fast Company, and it's worth reading (actually it's worth printing out, sticking to your wall, and e-mailing it to your colleagues). Heath Row over at the Fast Company blog also wrote on this topic, but it's worth repeating again.
Here are the main points of Seth's article:
1. No one cares about your opinion.
2. Say the right thing at the right time.
3. If you have something nice to say, please say it.
4. Give me feedback, no matter what.
I would strongly suggest that you read the article (several times), and believe me, the absolute best way to learn how to receive feedback is to be able to give it. Says it in the Fast Company blog and it bears repeating 1000 times over. Heed this warning: If you dish it out, you better be able to take it.