It is simply a matter of emphasis, which is why you can see it written both ways. For instance, if you had a visitor at your house, who was going to leave the house after you had left it, you might say:
Please don't forget to lock the door when you leave.
However, if this particular person had a habit of leaving the door unlocked, you would want to emphasize the "please", and could do it like so:
Please, don't forget to lock the door when you leave.
Which, when said out loud, has a louder "please" than the first example.
Basically, it emphasizes the importance of the request.
Also, if the "please" is at the end of a sentence, there must always be a comma, e.g.:
Don't forget to lock the door, please.
So, now that you've asked this question, how can we answer it? "So," suggests a substantial turning point in the discourse, for example between describing a situation and reacting to change it. See Fattie's answer for good examples where the turning point is substantial because of the outrageousness of the situation. Less outrageous examples still have a substantial turning point:
As my students, you have worked hard and studied carefully. So, today it's time to party!
So now let me describe "So" without a comma. "So" suggests logical continuity, for example between describing a situation and its usual result. When possible, it would often be better to combine a "So" sentence with the preceding sentence.
As my students, you have worked hard and studied carefully. So I know you will pass the examination.
As my students, you have worked hard and studied carefully, so I know you will pass the examination.
Best Answer
Not to disagree with jboneca's answer, but here's another interpretation.
This is similar to the practice of, say, writing lists of names like this:
Or writing inventories like this:
In each case, we mark the break from the natural order of English ("black leather shoes", "Albert Einstein") with a comma.
The natural order of an English sentence is to put modifiers like in Italy at the end:
But English grammar permits us to move the modifier to the front when it suits our purposes. In speech, we mark this break from the natural order with a change in intonation and a pause. In writing, we mark it with a comma.