[A grisly how-to from New York magazine]
(May 27, 1996)
Lobsters automatically die when they are boiled or steamed, but they must be killed before grilling, roasting, or sautéing. Place the lobster hard-shell up on a cutting board. Just behind the head, there is a cross mark in the shell; plunge a large knife through the mark all the way to the cutting board, and draw knife straight down toward the eyes approximately one inch; when the lobster stops moving, it's dead.