Correct way in new versions of nginx

Turn out my first answer to this question was correct at certain time, but it turned into another pitfall - to stay up to date please check Taxing rewrite pitfalls

I have been corrected by many SE users, so the credit goes to them, but more importantly, here is the correct code:

server {
       listen         80;
       server_name    my.domain.com;
       return         301 https://$server_name$request_uri;
}

server {
       listen         443 ssl;
       server_name    my.domain.com;
       # add Strict-Transport-Security to prevent man in the middle attacks
       add_header Strict-Transport-Security "max-age=31536000" always; 

       [....]
}

RewriteCond %{REQUEST_URI} !^/wp-admin/
RewriteCond %{HTTPS} on
RewriteCond %{HTTP_HOST} (.*)
RewriteRule ^/(.*) http://%1/$1 [L,R,QSA]

Note that if your admin interface loads images, CSS, JS, etc. out of a directory other than /wp-admin/ (which by default it does), this will probably make a warning appear on your browser (and will likely compromise the security you were trying to gain). You can add something like:

RewriteCond %{REQUEST_URI} !\.(js|css|jpg|gif|png)$

to resolve that, just keep adding extensions until you've got everything covered.