Pan the Camera
Track the aircraft as it approaches, keep it centered in the viewfinder, and press the shutter release as you continue to follow through--like a golfer following through on a swing. That means you shouldn't mount the camera securely on a tripod. Tripods are okay (I use them at airshows) but you need to keep the tripod's head very loose so you can track and pan without being slowed down. That’s the technique I used to catch the jet shown here.
There's an interesting exception to this faster-is-better rule: if you're shooting propeller-driven planes, a slower shutter speed will give you very attractive prop blur. It's a nice effect, but hard to achieve if you freeze the rest of the plane. Smooth, accurate panning is really important when you slow down the shutter speed.
For more tips on photographing fast-moving objects, go to "Digital Photography Tips: Capture Summer Action