Toys, clothes and other small items go on sale at midnight. I'm not sure how that all starts.
The "doorbuster" items--mostly the more expensive electronics--go on sale at 5 AM. They place their entire stock of an item on a palette in a designated area in the store, and you have to get in line for that item. At 5:00, they let people start picking up the items.
If you're going to do it, get there really early. Last year, I foolishly thought I could walk in to get a laptop an hour beforehand. When I got there, the parking lot was nearly full and I was told by employees that there were already more people in line than they had items in stock. I don't think I'm going to try that again unless I find a really good deal on something I really want to buy (and this year I haven't seen one).