In a previous life I actually worked at MEC (like REI for you american folk) so I had a TON of training on this exact issue.
Know that there are different types of jackets, which have drastically different washing needs. Do note that your jacket does need to get washed, and in fact for certain types of jackets its really good for it!
First things first, lets split your jacket into one of three categories:
1. Puffy Jacket
2. Wind Breaker
3. Water-resistant Shell
One thing that people rarely understand is what makes a jacket "Waterproof". In fact, there is no REAL thing as total waterproofness (save maybe a scuba diving dry suit) in outerwear. Bring on endless discussion of "waterproofness" but that should be for another discussion.
If your jacket fits into #2, then it is likely a layer of polyester or nylon. This fabric is water resistant and wind proof.
If your jacket fits into #3, then it is like a #2 jacket, with an extra layer of Gore-tex, polyeurothane, entrant, etc. bonded in it. This is where it will be more waterproof, as it is essentially a rubber layer. The fancy stuff is breathable too, but having the ability for water to go out and not come in really increases the price of a jacket. Henceforth the most waterproof thing out there is a big ol' yellow rubber suit.
The nylon on your jacket has a DWR chemical coating on it, which is what causes "water repellancy", commonly known as beading - and also commonly mistaken for the actual amount of waterproofness of a jacket. If you put enough DWR onto a pair of jeans, water would bead off of them. People actually used to do this in the '80s, simply spray a shit load of Scotch Guard on jeans and call it waterproof.
This chemical coating has nothing to do with the waterproofness of your jacket, as even a windbreaker made of light nylon could have a solid DWR and bead off water. If you're in a proper rainstorm though, the water will eventually soak through this coating.
At that point, thats when the nylon kicks in. This substance is seen as "water resistant" because the water will eventually soak through it, taking longer if it is a thicker jacket. A jacket can appear waterproof and extremely breathable with a ton of DWR and a nice thick nylon shell.
Once the water is through the nylon, thats when real waterproofness kicks in... expensive jackets will use something like Gore-Tex or Entrant, which is waterproof and breathable. These jackets will either be two-ply or three-ply, however again for another discussion. Cheap jackets will use simple polyurethane for waterproofness. It actually can work better than gore-tex (as long as the seams are sealed) but it will be warm.
Remember - just because your jacket LOOKS soaked does not mean you are soaked. You can tell if a jacket is leaking if your cloths underneath are wet, and the source of that wetness isn't your sweaty body. An expensive quality jacket in an absolute downpour will be completely soaked through the DWR and the nylon, but underneath you'll be bone dry.
The final piece of the jacket puzzle here is Insulation. Insulation can be present in waterproof jackets designed for wearing in conditions slightly below or above freezing. However a truly warm jacket (down jacket) will likely have all insulation, no gore-tex and a very light nylon exterior. The reasoning behind this being if the jacket is rated to -40, then it doesn't need to be waterproof because you're stupid if you're wearing a jacket that warm on a day where it is warm enough to even come close to raining.
Anyways, now that we know a bit more about our jackets, we can make washing decisions!
The first thing to note that your jacket needs washing (if its category #2 or #3) is if that DWR chemical coating is not working anymore. If your jacket has lots its ability to bead, that means it is dirty.
Washing your jacket actually replenishes this coating... especially in the dryer. The saying I remember is "Wash it lots dry it hot" - so you want to make sure to really rince the soap out of the jacket, then run the dryer on a hot setting.
Ideally, you put some of this stuff in there when you wash it -
http://www.rei.com/product/784626 and blammo you'll be beading like a champ.
Gore-tex and nylon neither are harmed by washing... though you do want to use normal powdered detergent not liquid. The reason why escapes me but I know its true. :)
For many people, they will be totally blown away as to how much life is breathed back into their jackets by simply doing this!
So caring for a category #2 or #3 jacket is simple... wash it lots dry it hot.
This is where it gets tricky though.... when insulation comes to play!
There is two main types of insulation - synthetic or down.
Down is warmer, synthetic is more durable.
If you have synthetic insulation, whether its a lightly insulated water-resistant jacket (Like a category #2/#/3 jacket) or even a really big puffy jacket, you can relax and know that the insulation is not damaged by water. These jackets you wash in exactly the same manner as the above mentioned technique.
HOWEVER
If your jacket has down insulation in it, you must remember that water basically instantly destroys the insulating properties of down. THIS INCLUDES RAIN. So if you find yourself in the rain with your down jacket on, damage has already been done and its time to follow washing instructions.
Quick explanation of this is because insulation comes from pockets of air. Down and all its fluffy goodness really traps a ton of air in the jacket. When it gets wet, the down clumps up and no longer traps air. Drying it out does nothing.
Think of it like toilet paper... if you scrunched up a bunch of toilet paper and stuffed a pillowcase, it would be all fluffy and air-filled. However throw that same pillowcase into a pool, and when it dries out you're going to have a hard little pile of toilet paper wadded up in one end of it.
So the key with down is that you need to get that loft back after it gets wet, and to be sure you don't damage the down too bad.
This is where dry cleaning with an experienced down garment cleaning service comes in. Talk to a dry cleaner in your local area.
If you want to wash it yourself, use ONLY a front-loading washing machine. That agitator thing in the middle of a normal washing machine will damage the down, so you can't use it.
You can buy special Down Wash to use thats much gentler -
http://www.rei.com/product/724681
The last key step is drying. Use this even if your down jacket simply gets wet, as no matter what if it gets wet that down clumps up like the before-mentioned toilet paper...
You can use a normal home dryer to dry the down jacket, but you must add 3 or so tennis balls. Use a low setting, and dry it for a long time.
The tennis balls will fluff the down back up, breaking apart the individual strands and getting it back into shape.
So thats that - everything I know about washing jackets.
