I've been "asked out" twice, but had to say "no" on both occasions, unfortunately. It was nothing personal against the girls in question; I just wanted to be single at the time. I stayed "just friends" with one of them though, and to this day (7 years later) she's one of the best friends I've ever had, so I think that worked out pretty well.
I don't know how it is for girls, but for me it was a bit of a startling experience. I'm completely okay with girls making the first move (because I'm one of those shy guys!) but I don't really like being unexpectedly "asked out". It seems to imply a certain level of commitment, when I've never even considered having a relationship with that person, and I'm being expected to make that decision and give an answer within a couple of seconds. Plus, if the answer's going to be "no", I have to quickly think of a way to do it without offending her, helping her save face etc.
I think it's much better to just suggest doing something together one day - lunch, cinema, coffee, whatever - and letting it develop gradually from there. And then when someone eventually talks about making it "official", it'd be much less of a surprise.