With a comma. Always. Except when you don't. Perhaps I should annotate that: In the overwhelming majority of cases, follow an introductory phrase at the beginning of a sentence with a comma.
Eight classes of adverbial conjunctions exist, and a comma should generally follow one in every class. Each of these sentences includes an example of one such part of speech from each class:
Addition: "Finally, I reached the station."
Comparison: "Similarly, chickens are omnivores."
Concession: "Naturally, you'll want to see for yourself."
(Note, however, that however isn't always an adverbial conjunction. In this sentence, it's an adverb modifying important: "However important you think it is, I'm not giving him the message right now.")
Contrast: "Nevertheless, he didn't go into detail."
Emphasis: "Of course, she'll be there, too."
(An exception can be made for this particular phrase: There's a subtle but distinct difference between "Of course, you'll want to do it your way" and "Of course you'll want to do it your way." In the first sentence, your is stressed; in the second, course, perhaps accompanied by a sneer, is emphasized, with a secondary stress on your — and likely an exclamation point to signal emotion.)
Example: "For instance, the floor was swept but not mopped."
Summary: "In conclusion, I recommend that we approve the measure."
Time sequence: "At last, we saw their car approaching."
(Some writing and editing guides suggest that short introductory phrases don't require commas; often, such brief modifying phrases involve time: "Yesterday I saw a ghost," for example, or "In 1492 Columbus sailed the ocean blue." I recommend, though, use of commas in such cases. Otherwise, the exception to the rule is rather arbitrary; how long does a short phrase need to be before it merits a comma? And why omit commas in some cases and include others?)
Hence, Still, Then, and Thus
Another class of words may or may not be followed by a comma depending on subtle differences:
"Hence the name," but "Hence, I was back where I had started."
"Still the waters raged though the rain had ceased," but "Still, I try one more time."
"Then I tried to start the car again," but "Then, I would have acted differently."
"Thus we are back where we started," but "Thus, I concede the point."
"To get there, turn right at the second intersection."
"Under the circumstances, I cannot allow it."
Thanks to Mark Nichol / Daily Writing Tips