Some people swear by adding your eggs to already boiling water, rather than letting them all come up to temperature together. This makes the egg easier to peel by giving it a full 212-degree blast of heat to break down the skin that normally seals the shell to the egg flesh.
It's a good idea to peel your hard-boiled eggs under running water. Once your eggs are fully cooked, place them into an ice bath (this also makes them easier to peel) to cool and halt cooking. Then, crack the shells, one at a time, all over on a countertop and start peeling under a running faucet.
The water both strips away tiny shell fragments that might make your egg feel gritty, but it also slips underneath the shell and makes it easier to peel.
Adding baking soda to your boiling water makes the water more alkaline, increasing the pH of the albumen of the egg, which loosens the bond between the egg whites and the inner membrane that normally makes an egg a nightmare to peel. This does increase the sulfur-y taste of the egg, though. Some people also add vinegar, which supposedly breaks down the shell of the egg as it cooks and makes the egg easier to peel.