As mentioned in other answers, you find out by reading the Rulebook for that commodity and exchange. I'll quote a couple of random passages to show how they vary:
For CME (Chicago Mercantile Exchange) Random Length Lumber Futures, the delivery is ornate:
Seller shall give his Notice of Intent to Deliver to the Clearing
House prior to 12:00 noon (on any Business Day after termination of
trading in the contract month.
20103.D. Seller's Duties If the buyer's designated destination is east of the western boundaries of North Dakota, South Dakota, Nebraska,
Kansas, Texas and Oklahoma, and the western boundary of Manitoba,
Canada, the seller shall follow the buyer's shipping instructions
within seven (7) Business Days after receipt of such instructions. In
addition, the seller shall prepay the actual freight charges and bill
the buyer, through the Clearing House, the lowest published freight
rate for 73-foot railcars from Prince George, British Columbia to the
buyer's destination. If the lowest published freight rate from Prince
George, British Columbia to buyer's destination is a rate per one
hundred pounds, the seller shall bill the buyer on the weight basis of
1,650 pounds per thousand board feet. The term "lowest published
freight rate" refers only to the lowest published "general through
rate" and not to rates published in any other rate class.
If, however, the buyer’s destination is outside of the aforementioned
area, the seller shall follow the same procedures except that the
seller shall have the right to change the point of origin and/or
originating carrier within 2 Business Days after receipt of buyer’s
original shipping instructions. If a change of origin and/or
originating carrier is made, the seller shall then follow the buyer's
revised instructions within seven (7) Business Days after receipt of
If the freight rate to the buyer's destination is not published, the
freight charge shall be negotiated between the buyer and seller in
accordance with industry practice.
Any additional freight charges resulting from diversion by the buyer
in excess of the actual charges for shipment to the destination
specified in the shipping instructions submitted to the Clearing House
are the responsibility of the buyer. Any reduction in freight charges
that may result from a diversion is not subject to billing adjustment
through the Clearing House. Any applicable surcharges noted by the
rail carrier shall be considered as part of the freight rate and can
be billed to the buyer through the CME Clearing House.
If within two (2) Business Days of the receipt of the Notice of Intent
the buyer has not designated a destination, or if during that time the
buyer and seller fail to agree on a negotiated freight charge, the
seller shall treat the destination as Chicago, Illinois. If the buyer
does not designate a carrier or routing, the seller shall select same
according to normal trade practices. To complete delivery, the seller
must deposit with the Clearing House a Delivery Notice, a uniform
straight bill of lading (or a copy thereof) and written information
specifying grade, a tally of pieces of each length, board feet by
sizes and total board feet. The foregoing documents must be received
by the Clearing House postmarked within fourteen (14) Business Days of
the date of receipt of shipping instructions.
In addition, within one (1) Business Day after acceptance by the
railroad, the Clearing House must receive information (via a telephone
call, facsimile or electronic transmission) from the seller giving the
car number, piece count by length, unit size, total board footage and
date of acceptance. The ￼date of acceptance by the railroad is the
date of the bill of lading, signed and/or stamped by the originating
carrier, except when determined otherwise by the Clearing House.
For some commodities you can't get physical delivery (for instance, Cheese futures won't deliver piles of cheese to your door, for reasons that may be obvious)
6003.A. Final Settlement
There shall be no delivery of cheese in settlement of this contract.
All contracts open as of the termination of trading shall be cash
settled based upon the USDA monthly weighted average price in the U.S.
for cheese. The reported USDA monthly weighted average price for
cheese uses both 40 pound cheddar block and 500 pound barrel prices.
CME gold futures will deliver to a licensed depository, so you would have to arrange for delivery from the depository (they'll issue you a warrant), assuming you really want a 100 troy oz. bar of gold:
The contract for delivery on futures contracts shall be one hundred
(100) troy ounces of gold with a weight tolerance of 5% either higher
or lower. Gold delivered under this contract shall assay to a minimum
of 995 fineness and must be a brand approved by the Exchange.
Gold meeting all of the following specifications shall be deliverable
in satisfaction of futures contract delivery obligations under this
Either one (1) 100 troy ounce bar, or three (3) one (1) kilo bars.
Gold must consist of one or more of the Exchange’s Brand marks, as provided in Chapter 7, current at the date of the delivery of
Each bar of Eligible gold must have the weight, fineness, bar number, and brand mark clearly incised on the bar. The weight may be
in troy ounces or grams. If the weight is in grams, it must be
converted to troy ounces for documentation purposes by dividing the
weight in grams by 31.1035 and rounding to the nearest one hundredth
of a troy ounce. All documentation must illustrate the weight in troy
Each Warrant issued by a Depository shall reference the serial number and name of the Producer of each bar.
Each assay certificate issued by an Assayer shall certify that each bar of gold in the lot assays no less than 995 fineness and weight of
each bar and the name of the Producer that produced each bar.
Gold must be delivered to a Depository by a Carrier as follows:
a. directly from a Producer;
b. directly from an Assayer, provided that such gold is accompanied by
an assay certificate of such Assayer; or
c. directly from another Depository; provided, that such gold was
placed in such other Depository pursuant to paragraphs (a) or (b)