WELS Lutheran. I spoke to our Pastor before we left, and had raised various issues and concerns along the way, but I spent a LOT more time talking to our first Lutheran Pastor (LCMS), discussing the faith, his understanding of Orthodoxy, what I was learning about Orthodoxy, what his objections were from a Lutheran standpoint, etc. I also spoke to several other Lutheran Pastors (all LCMS) I respected about our journey, as well as two friends who are both former Lutherans, now Orthodox.
Our final discussion with our WELS Pastor was pretty short and sweet. I told him we were attending an Orthodox parish and intended to continue. His response was basically along the lines of "well, this sometimes happens, and we respect your decision, but if you ever want to come back you will certainly receive a warm welcome." I think I told him we were leaving essentially because we were more evangelical catholic Lutherans than low church protestant Lutherans, and we found a place where that catholicity was still present. I also made clear we were not leaving because of him, or anyone else, that it wasn't personal and that we were not angry. It was a good discussion, I thought.
The one thing I wish we'd done is send a short letter to the parish or spoken with some of our closer friends there before we left. I assumed, perhaps naively, that our departure would be announced, and I didn't go in person and inform the congregation due to the fact that I didn't want to be perceived as shunning them or rejecting anyone. Basically, I didn't want to be divisive within the parish. But it became apparent to me that a lot of our friends didn't even know we had left, much less why. We kept getting questions about when we were coming back, etc. That's the reason I started blogging about our conversion.