This answer depends on your ethics and the nature of the security vulnerability you've discovered. I'm going to leave out web application vulnerabilities, because the vulnerability half-life, method of discovery and supply/demand on those is entirely different. For those, check out bug bounties. Let's go over your options:

1. Responsible Disclosure:

Do you have a privilege escalation, sandbox escape, remote code execution, etc. vulnerability in a major browser (Internet Explorer, Chrome or Firefox), a major operating system (Windows, OS X, Linux or Unix), a major mobile operating system (iOS or Android), a major programming language (including but not limited to Python, Ruby, PHP, etc.) or a major software framework/library/platform (including but not limited to Django, OpenSSL, Bash, Flash, etc.)? If not, is it somehow not on that list but impacts the internet in a horrific way?

Good news, you can responsibly disclose directly to the Internet Bug Bounty (https://internetbugbounty.org/) and claim a five figure reward (or greater, theoretically). You can report to Google or Microsoft if it's specific to one of them and they'll pay you directly. You can also grab a neat CVE and enjoy extremely high employability and prestige in the lucrative security industry.

If you have a vulnerability in the above list, this is basically the best game theoretic way to go, in my opinion.

2. Third-Party Disclosure:

You can sell to a third party which promises to both reward you and notify the vendor, but you really don't know exactly what happens to the vulnerability. This is kind of like the Zero Day Initiative, and others like it. You'll probably fetch a price about comparable to legitimate disclosure, but you'll probably be unable to publicly disclose that you found it as a condition of payment, and you're not entirely in control of what happens.

This is more controversial. You won't be known for the finding, and even if you somehow are, you won't be universally praised for it in the industry. A lot of security researchers (myself included) fundamentally disagree with this approach, but it probably won't be an obstacle to being hired. This is a good route to go if you want to be paid for something that is legitimately serious but which will not be honored through purely responsible disclosure (as a term, not a moral judgment) because the vendor is hostile towards security research.

3. Outright Sale on the Black Market:

This is pretty straightforward - find a broker such as Hacking Team and offer to sell them a vulnerability you found. The upside here is that you will receive a significantly higher payment than you would through legitimate disclosure. For a vulnerability that allows code execution in iOS, for example, you can expect about $500,000 from a broker. If you're looking for a career as a blackhat, this is basically going to be the route you choose, and it will be quite a lucrative one depending on your risk tolerance.

The downsides are powerful, however - if it becomes public that you sell vulnerabilities on the blackmarket, that effectively labels you as a blackhat. You will be a pariah in the security industry and your employability will drop severely. The only way to stay employable at that point is to both publicly decide to "turn sides" and to be so astonishingly skilled that people basically have to tolerate your past activities. On the other hand, if it never becomes public that you sell vulnerabilities on the black market, you suffer from not being able to publicize quality security research that could benefit your career.

I consider the best method of monetary gain to be finding several high value vulnerabilities, responsibly disclosing them and becoming a solo security consultant. This has more to do with ethics and risk tolerance than it does with potential earnings - a legitimate security researcher will probably top out at a half million or so per year (there are outliers). Conversely, someone who is very good at breaking software and doesn't care about the morality of the endeavor can top out at millions per year.