This is an often neglected step in our makeup routine. A lot of times I put it off because I think, "oh, they won't dry by tomorrow and I need to use them . . . ". But, a lot of times mine are completely dry within about 30 hours, so I've started doing this about twice a month on Saturday mornings.
Brushes that you use with creamy products (foundation, concelear, cream shadow, lipstick, etc) need cleaning more often than those for "dry" product use. Nonetheless, it's a good idea to clean your brushes regularly. I also use a brush cleaner spray regularly to keep them a little cleaner in between deep cleanings.
Prepare the cleaning solution by using water + roughly a tablespoon of gentle shampoo. You can also use baby shampoo, vinegar, or tea tree oil.
Have a fresh glass of water to rinse your brushes before cleaning them in the soapy solution. You can also simply rinse them under a faucet.
* a few readers suggested not submerging your brushes past the metal part (or the part where the handle begins) to avoid getting water trapped in the brush. So, when you are cleaning, try to keep it on the brush hairs only!
Swirl your brush around a few times, pressing gently into the bottom of the bowl. Use your fingers to work the solution into all the brush hairs too!
Give your brushes a good rinse, and let them air dry completely before using again.
I let mine air dry on a towel, spread out so they aren't on top of each other. Shape the brush back into the proper shape so you aren't left with a spread out, crazy-haired brush to try to apply eyeshadow!
If you have particularaly sensitive or acne prone skin, I'd recommend washing your brushes even more regularly. Otherwise, twice a month should be plenty. Of course, the more you wash/use your brushes, the quicker they will wear out. Treat them with care, and consider a brush spray like I mentioned above to keep them in tip top shape and condition.