Following our friend Scott's suggestion, we started by removing the pedals and lowering the seat, turning the bike into a sort of scooter. Max had not problem at all with this as he flies around on his Razor all the time (and even does stunts now). The key in this scooter phase was to run alongside and push him as it's hard for a kid to get much speed just paddling the feet.
After about 10-15 minutes of that, we put the pedals on and away he went! It took almost no time at all, pretty remarkable considering what we had to go through as kids. I think the tiny bikes they have today, and the kids' earlier exposure to bikes, scooter, etc. all make it easier.
Anyhow, click the link below to see Max riding less than an hour after taking off the training wheels (Windows Media video, 826 KB):
Max's first ride