Up until very recently, I joined my yarn the way that A) you're never supposed to, and B) a LOT of knitters do.  Which is that I tied the new end to the old in a square knot, and later came back to weave in the ends.  

NO KNOTS!  That's what all the books tell you.  Tying your yarn ends together is like using scissors on origami: a complete sacrilege.

There are a lot of ways to join yarn.  I should emphasize that knotting at the join isn't "wrong."  If anything, knotting your ends together is a perfectly understandable expression of needless anxiety.  After all, even the slipperiest yarn will hold together if you settle the join properly.  There is really no need to knot it together!  

Just Knit Away
The most fearless knitters simply drop the old yarn, and pick up the new.  I can assure you, I swooned a little when I learned this.  Admittedly it works best on a sticky wool yarn, but even smoother yarns are fine at this.  The trick is in weaving in the ends properly after you're done.  Weaving in the ends is what secures them.

Knit With Both Yarns
I have learned that many knitters will overlap the yarns, and knit with both strands for a few stitches.  Then you drop the old yarn, and end up with two tails (new yarn and old yarn) a few stitches apart.  This gives you a little bit more stability than just picking up the new yarn.  

Spit Splice
If you're using an animal hair yarn (wool, alpaca, mohair, etc) you can try a spit splice.  A lot of people swear by spit splicing, but I'm not a big fan.  When you spit splice, you're felting the ends together, and I can always feel the stuff nubbly bit of the felted yarn ends if I run my hands over my knitting afterward.  (Pro tip: cut out several strands from each end before you splice them, to keep from ending up with a felted wad of the doubled width.)

Rope Splice
This splice can be a little fiddly depending on the yarn, but it looks like magic.  You unravel the plies from both end, cut out half the plies from each end, then merge and roll the ends together to re-ravel them together.  You end up with what looks (ideally) like one unbroken length of yarn.  (This is how sailors splice rope.)

The Back Join
I recently tried this new technique I learned from TECHKnitter.  It's dead clever, and fairly simple once you work out what's happening.  It's also a great technique for multi-colored knitting, since the tail for Color A won't be worked in over the stitches in Color B.

Russian Join
I've never done a Russian Join.  I've only ever looked at the diagrams and thought, "There is NO WAY IN HELL."  But I include it here for the sake of completeness.  I don't do very much lace knitting, which is I think where this technique really shines.