Also, be sure to wash your hands so you don't give yourself an eye infection.
If you have anything embedded in your eye, or bits of glass, metal, very large foreign bodies or chemicals in your eye, don't try to get them out yourself. Tape a paper cup over your eye and head to the ER or your doctor's office.
With that said, on to getting that thing out of your eye!
Edit: I completely neglected to cite sources I quoted. Mea culpa. If this was a paper, I'd get an F.
Thank goodness it's not and I don't!
Step 1: Method to try
The method you try will likely depend on where the nasty bit is in your eye.
First, no matter where the object is, try blinking. I don't mean a little sissy *wink, wink*. I mean, really BLINK. If this works and the object is out of your eye, congratulations! Please post a comment and tell me what a difference this instructable made in your life. Everyone else move on to the next method.