No big deal. My dad does it all the time although I do feel a bit weird carrying in gun cases.
Make sure it is unloaded, in a hard side case and you have a good lock. After it is checked my dad normally wraps the case in duck tape to ensure no tampering by the baggage people.
Give yourself extra time. We once missed a flight as only 1 person at the HP counter in PHX knew the proper procedures for handling firearms. Of course we found this out after waiting in the check in line for 45 minutes
Check the airlines web site to make sure they do take firearms. Most do, but IIRC there are a couple that don't.