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; 

       [....]
}

From the nginx documentation (http://nginx.org/en/docs/http/server_names.html):

When searching for a virtual server by name, if name matches more than one of the specified variants, e.g. both wildcard name and regular expression match, the first matching variant will be chosen, in the following order of precedence:

1. exact name
2. longest wildcard name starting with an asterisk, e.g. “*.example.org”
3. longest wildcard name ending with an asterisk, e.g. “mail.*”
4. first matching regular expression (in order of appearance in a configuration file)