'A' button. Just keep pressing it until you hear it open. Sometimes the rocket kills you inside the vehicle, too. Also, if you wait too long to bail out, you still die. So bail and mash 'A' until it opens.
I found out that is best to wait a little after you bail before opening the parachute...from my experience, when I open it as soon as I bail, I always get killed by the chopper...but if I wait a bit then I can manage to
land safely :)