I am a member of a playgroup that another mom just set up last year. She said she was sitting at home with her baby, not sure what to do with her, and saw another mom walking with a baby around the same age in a stroller, and she was tempted to just run outside her house and say "I have a baby, too, be my friend!" She started a yahoo group. She put up flyers at the library, local grocery store, that type of thing, and also put an ad in the paper.
The first meeting was just at the local park. I actually didn't know about it, just happened to be there, and she came up and introduced herself & invited me to join them. For the most part, we have one playdate per week, at the park in spring/summer/autumn, and then different people in the group would host the playdate at their house over the winter. There are also stroller walks, usually once a week, and usually 1 or 2 "mom's night out" events a month - usually just dinner at a restaurant. I think the yahoo group works well because it's not just up to the woman who started the group, anyone who has an idea can post and say "hey, anyone interested in doing this with us?"