Setting up "trusted devices" (iPhone, iPad, etc.) works really well: Apple already knows which devices you own, so all you have to do is select the device and you get an instant push notification to unlock to see the verification code.
Apple gives you a backup recovery code with very clear instructions to print/write it somewhere safe. They require you to re-enter it as part of the setup process to make sure you got it right.
When you need a code, you pick the device you want it sent to and Apple pushes it out instantly via some feature baked into iOS. You can also set up any phone to have a code delivered via SMS, but presumably this is less secure because it could be read even if your phone is locked.
Overall this is a great experience for the user -- much more friendly than Google Authenticator.
In fact I wish this process was open a la Google Authenticator so that other applications could use it (this will happen when hell freezes over).