I've never managed to do it either. My mother used to use a pan like in Spangler's picture. I have tried several methods, including these guys in the picture. They do not work at all. I have tried greasing them and putting water in the bottom but it never worked and they were the Devil to clean.
The best results seem to be the microwave method - however, I haven't perfected that either. I only put a tiny bit of water in, not half a cup as Riverwalk suggests. Maybe that's where I'm going wrong. I'll try that next time. Also the frying pan method, as described by Tanith and others, although I'm sure mine will stick to the bottom.
As for doing it in a saucepan, I do know that the water has to have a bit of vinegar in it, be just off the boil, and I try to get it really swirling and drop the egg, which has to be very fresh, into the middle of the "whirlpool". All to no avail.