The commonly used way to upgrade Fedora, and possibly other Red Hat systems like CentOS, probably is to use the DVD of the latest version and have it upgrade your system.
Not only does this require the download of DVD and the recording onto a blank disc, it also means downtime for your box.
The way I am about to describe might not be the recommended way, and it may even bring some problems, although I don't think that these are unsolvable. Actually I think that this way more or less mirrors what the DVD does, just without the DVD, more like the Debian way of a dist-upgrade.
So, the way I am talking about is upgrading Fedora (I tested an upgrade from a fresh F8 to F9 in a VM) through the Internet.
The first thing you need to do is letting your system know it's the new version.
This is done by manually upgrading the packages fedora-release and fedora-release-notes, the latter one first.
rpm -U ftp://mirrors.kernel.org/fedora/releases/9/Everything/i386/os/Packages/fedora-release-notes-9.0.0-1.noarch.rpm rpm -U ftp://mirrors.kernel.org/fedora/releases/9/Everything/i386/os/Packages/fedora-release-9-2.noarch.rpm
Note that the versions of these packages might change. So if you get an error check the FTP-server for the correct numbers.
Afterwards it seems necessary to let yum clean up a few things, because otherwise it'll still want to just update the packages to the latest of the currently installed version, and not upgrade to the new version.
yum clean all
Now we can run the system-upgrade by simply running
yum -y upgrade
This of course will take some time, as lots of packages have to be replaced.
After the update we simply reboot the system and enjoy the latest version of Fedora.
As said, so far I only tried this on a fresh install of Fedora 8 in a virtual machine. But since the F9-DVD doesn't want to boot in the DVD-drive at work I might try it on a real system if I have some spare time and breaking the system and having to re-install it doesn't matter.
I have read that others went this way too, and I guess it should be quite safe since I think that the DVD doesn't do much different, except loading packages from the disc instead from the Internet.