I'm in the process of doing all the baseboard and door/window casing in my home. I paint it off the wall, but that's because I'm replacing it. It might not be practical if it's on the wall, and it would depend on what size the baseboard is (mine is 1x8), but I use a small foam roller on trim and doors. It gives a very smooth, almost manufactured finish.
...Of course, it also depends on the style of baseboard. All of my trim is 1x8 and 1x6 with edges rounded off with a router, so it's very easy to use a 4" roller.