On the two occasions I've had to do this I've opened the letters. First, because they were addressed to me, not my children. Second, because our postman comes late morning so, if the letters had brought bad news, I would have had time to get over my disappointment and compose myself before telling my children.
Mind you, this did backfire on me a bit last time as I should probably have waited until my son and I were at home so we could open the letter together in private. When I went to pick him up from school I arrived in the playground early, saw him finishing a PE lesson, smiled and gave him a thumbs up sign - whereupon he promptly burst into tears! This my big, rugby-playing, non-cuddling, non-crying, rough tough boy!
Bigrob - I'm not surprised your son has never forgiven you, what a dastardly thing to do!!