Depends on what I find and where. If they are regular old bee's, I leave them alone if I can. If it's yellojackets or ground hornets, I'll wait until night time, and mix up a jug of Malathion (SP?) at about 2x the concentration. I put it in an old 2 gal weed sprayer that I have that doesn't work anymore. I just use the jug. Then I go out at night, and turn the jug upside down on the hole and walk/jog away. The jug keeps them all in there.
I've seen people burn them out, but if you're using gas or some kind of fuel, I think it's better to just poor it in and leave it without lighting it.