Well, the best way is to not do something which will get them taken away in the first place. If that option is exhausted, then it's going to depend on the specifics of your situation. If you were adjudicated mentally defective, discharged from the military under dishonourable conditions, or have been convicted of any crime of domestic violence (felony or misdemeanor), or have been convicted of any federal felony, your only real option in those instances... is no option at all.
On the other hand, if you lost your gun rights for something which was a felony only at state level (and wasn't related to domestic violence), there is hope. It's going to require you to apply for relief of disability with the state of KY.
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