Assuming you don't have access to a Krispy Kreme store (or their hot, fresh donuts), and you're stuck with the grocery store variety, there are a few ways you can achieve an acceptable level of deliciousness.
The first way is to pop your frozen donut in the microwave for about 10-15 seconds. This will help to thaw out the outside of the donut so that it's not rock hard, but it won't make the inside warm or gooey.
If you want a more traditional defrosting method, you can leave your frozen donut on the countertop for about an hour until it reaches room temperature. This will take longer, but it will result in a softer, more evenly defrosted donut.
Once your donut is thawed out, you can give it a quick blast in the microwave for 5-10 seconds if you want it to be warmer before eating. Or enjoy as is!