I took over organizing the Chicago Gameday from MattyHelms (who took over for Mark), so I haven't had to go through the initial start-up rpocess. Still...
Yes, gauge the level of interest so you have a rough idea of the amount of space and number of events you'll need. This is the most important step. Being able to mention the expected number of attendees in your "pitch" when looking for a venue is a good thing. Mentioning ENWorld probably can't hurt, either.
Chicago Gameday attracts about 30-40 people on average; definitely enough people to make it worthwhile for our host, Games Plus. We start at 9:30am and go until 9pm or later. The day is divided into morning and afternoon sessions, with 5-6 events in each. Each event sits six players plus a GM by default. Cancellations or scheduleing will sometimes reduce this to 4-5 events in each session. We also meet up for breakfast at about 8am (for those that are interested), and break from 2:30pm to 3:30pm for lunch. At 4pm we do a prize drawing; prizes are donations from gaming publishers, as well as items attendees donate from their own collections.
Having Gameday in a FLGS is a nice synergy. The attendees are surrounded by swag, which definitely sets the mood, and the proprietor gets a bunch of potential customers as incentive to host the event. It's also nice that, in our case, the store is located within walking distance of many restaurants and a commuter train station. People can get out and stretch their legs between sessions, get some food, etc.
I created a site for Chicago Gameday,
http://gameday.buzzmo.com, though it doesn't really get all that much traffic. Still, it's a good place to archive info about Gameday, and it presents a good "face" when advertising the event (as opposed to sending ppeople straight to the sign-up thread).
More importantly, I set up a mailing list. Every attendee signs in on a sign-up sheet that is pre-printed with their ENWorld handles (so we know who is eligible for prizes; walk-ins don't get free stuff until the people who registered do), and has fields for email address and name. I keep those addresses on a master mailing list that I use for announcements. This is a good, proactive way to inform people of upcoming Gamedays or schedule changes, etc. Otherwise, you have to rely on people checking the sign-up thread. Also, this way I have a list of everyone who has ever attended a Chicago Gameday, i.e., a body of "regulars" who are likely to attend again.
When it comes time to plan the Gameday, I usually start separate planning and sign-up threads. The planning thread usually gets started 2 months or so in advance of the Gameday. We use it to settle on the date of the Gameday, throw ideas around, and allow GMs to submit events.
Once we have all our events scheduled, I have the mods close the planning thread and I start the sign-up thread. The first post in the sign-up thread has all relevant info: location, schedule, policies, and registrations. It's kept updated as people sign-up or if cancellations occur.
(You can search the boards for past threads for exmaples of all this.)
Come actual Gameday, I arrive for the pre-game breakfast, and then head over to the host FLGS about 20-30 minutes before the morning events are supposed to start. I lay out the sign-up sheets and event/registration list, start collecting all the prizes together, and make name tags and markers available. I then commiserate and greet people, and help anyone trying to find their event table. Just before the "official" event start, I get everyone's attention, welcome them to Gameday, remind them of the schedule, and see if anyone is still looking for a game to join. If so, I help them (or find someone to help them).
I'll usually get everyone's attention again when the "official" lunch break starts, reminded them to be back in time for the prize drawing. During the drawing, thalmin (owner of Games Plus) and I lay out all of the prizes for display and then start picking winners; usually we roll dice (I number the sign-up sheets from 1-20

). We recently decided to give the event GMs first crack at the prizes.
Anyway, once the drawing is done, I thank people for coming, and then head off to whatever event I signed up for (or am running). At the end of the night, I walk around and thank anyone who's still there. thalmin and I usually get together for a few minutes to talk about how the day went, too.
And that's it.
Hopefully, attendees will post pictures, stories, and thank-yous to the sign-up thread.
Oh, lastly, I would give some thought to various policies you want to have in place. E.g., do GMs need to approve sign-ups before they get added to their events? (We don't by defualt.) Are attendees allowed to switch games after their initial sign-up? (Again, we don't, unless there's a good reason.) Is there a cut-off for cancelling an event that hasn't seen any sign-ups? (We set the scheudle in stone the last week before Gameday, again, barring special circumstances. GMs are expected to come prepared to run their event, no matter how few poeple signed up, after that point.)