I've found that at the beginning it's easiest to run tests from an IDE that supports PHPUnit. Recently, I set up Netbeans to run tests and it was super easy plus the test files with classes and method definitions were created for me automatically by the Skeleton Generator. Now I can run tests by using a menu item or a shortcut in Netbeans. Other IDE's should have similar support, I suppose.
However, I know there are people who will swear that command line rules!