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Quickstart for the impatient
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If you have a popular board then just start OpenOCD with its config,
e.g.:
openocd -f board/stm32f4discovery.cfg
If you are connecting a particular adapter with some specific target,
you need to source both the jtag interface and the target configs,
e.g.:
openocd -f interface/ftdi/jtagkey2.cfg -c "transport select jtag" \
-f target/ti_calypso.cfg
openocd -f interface/stlink.cfg -c "transport select hla_swd" \
-f target/stm32l0.cfg
After OpenOCD startup, connect GDB with
(gdb) target extended-remote localhost:3333