I have heard of Sedo. So do I just submit my site to them, and then that's it? I remember hearing of fraud before where a person buys a site, and then refunds afterwards but steals the site? Does this actually happen?
Sedo mainly handles domain sales. There are specialized brokers who deal with developed sites though too such as sitetrader.com . If you are selling a site I'd suggest trying to sell it by posting here or other forums first and see what happens.
Post it for sale on a domain forum (dnforum.com domainstate.com namepros.com) and see what the response is like.