I'm breaking in a pair of new (to me) tall English riding boots, and the going is painful. Like any personal garb made of quality leather, it takes awhile to soften and conform to your unique shape. Though the world seems to think riding boots are the height of fashion, they are one of the most painful, cumbersome, and expensive pieces of gear in an equestrian's collection. If it weren't for the great positioning and protection they offer, I would go back to my short paddock boots in a heartbeat!
Jeff has some tricks for breaking in baseball gloves, but if anyone has leather footwear tips, please pass them on! I've read of a whole host of ideas such as baby oil, steam, urine (apparently the cavalry of WWI and WWII did this!), hot water in the boot, and lots of commercial creams and other store-bought products.