How do skydivers do it?
Airliners didn't always have this door mechanism: http://en.wikipedia.org/wiki/D._B._Cooper
Some planes do have closing doors -- for instance, rear-loading cargo planes. Those are the most fun to jump out of, since you can take a running James Bond-style leap out the back of the airplane.
Someday I'll jump out of a rear-loading plane -- as long as it's not a static line jump... since I'm not military, that probably won't be a problem though ;)