By plane:

The best airport to fly into is Detroit Wayne County (DTW), also known as "Detroit Metro".  Ann Arbor is about a 20-30 minute ride away.
 

Getting to Ann Arbor from Detroit Metro:
 
You can just hail a cab when you exit the airport; at the above-named web-site, the Blue Cab Company ((734) 213-2222) claims to charge $26 one-way (click on the link for Detroit Metro Airport).  A (non-[Blue Cab]) cab could cost $30-$40 (the latter bit of info comes from personal experience...).

Another option is Commuter Express, a shuttle company that provides cheaper transport from the airport.
 

Coming on I-94:  Take the State Rd. (= State St.) exit, and go north on State St. all the way into the center of Ann Arbor.  S. University will be the first street (on your right) as you approach campus.  After that, there is E. William (on your left), and then N. University on your right (the street where the Michigan League is).  If you go one more block on State St. and make a left on E. Liberty St., you will find parking structures.

By train:

There is an Amtrak station in Ann Arbor.  You can visit the following web-site for info on schedules, etc:
 

http://www.umich.edu/~info/amtrak.html