Back when I was showing my seaming methods Devbear asked me to show how I weave in ends. Sorry I took so long Devbear!
Amazingly there is very little information on what to do about yarn ends in most of the knitting reference books. Most resources tell you to bury the yarn ends in a nearby seam. Obviously this is not helpful for those doing colorwork in the round or those doing intricate lace. Some sources say for you to knit with both ends for a few stitches as you start a new yarn. In colorwork this could result in the old color peeking through, not to mention the extra bulk.
For intricate lace I believe your two options for dealing with yarn ends are the Russian Join or the spit splice. Are there any others?
For color knitting you may have hundreds of yarn ends to deal with. I tend to have as many yarn ends as possible because the one sure fire way to deal with the natural pattern jog at the end of the row is to cut the yarns at the end of each color pattern. Yes, yes, I know it is tempting to try to carry the yarns up several rows when you'll be using those colors again. Don't. Not only is it a complete pain to have your knitting in progress attached to 14 different colors of yarn but this method will allow you to achieve the much-desired jogless jog. Just remember to take each color yarn the OPPOSITE direction it was going to weave in your ends. For instance at the end of a row you'll see a blue yarn that is going to the right. Take this blue yarn end and work in the ends on the left of the end of the row. This will align your pattern at the end of the row. This jogless jog method only works on patterns where many different colors are used.
I use three different methods of weaving in ends. This first sample shows two of them.
The bottom method is duplicate stitch weaving on the purl side of the work and is as about as bulletproof as you're going to get. This is easier done with a tapestry needle but can be done with a crochet hook if your yarn ends aren't long enough. The only reference I know is a diagram from Janet Szabo's wonderful The "I Hate to Finish Sweaters" Guide to Finishing Sweaters.
The second method is one I sometimes use when I have multiple colors to deal with. It is pretty invisible on the back of your work but is shown on top in the above photo. Finding the purl bumps to do the first method when there are lots of strands of yarn is a pain so I needed a different method. I weave in the ends by taking a crochet hook and working the yarn end up from the bottom purl loop on the row and then down through the top purl loop. I continue this for a while on one row and then work back with the same method on another row. I also try to only find purl loops that are the same color as the color of the end I'm weaving in but this isn't always possible. Here it is used on the inside of the Salsa socks - I hope you can also see how this method can help eliminate the jogs.
There is one additional method of weaving in ends on colorwork. This one is for cotton yarns or if you're doing intarsia. This is a poor photo of the back of an argyle sock and the method is from Sherry & Keely Stuever's Intarsia: A Workshop for Hand & Machine Knitting. Essentially you take a tapestry needle and work the yarn end diagonally through the purl stitches, purposely splitting the stitches.
Let me know if you have any additional methods of weaving in ends on colorwork. I can always use more ideas.