There are a lot of answers to, How to Cast on? The Cable Cast On is the casting on method I like best. It makes an attractive firm edge, and it's not too difficult to do. But it's not always appropriate. And if you're a Continental knitter (you hold the yarn in your left hand), the Long Tail Method might be more comfortable. The Long Tail method is also a faster way to cast on. But these two methods are just the tip of the needle (oooh, bad pun).
As a beginner knitter, I used the knitted cast on, probably because it's almost like knitting, you just put the stitch back on your left needle instead of slipping it off. But the cast on edge from this casting on method is a little loose. However, this makes it most appropriate for casting on projects that will be lacy.
Casting on is used at other times besides the beginning of your work. Sometimes you'll add stitches later in your work, to the end of a row, so the Thumb Cast on is best. And the Provisional cast on is a clever trick: it gives you an edge to knit from, but leaves the stitches available to pick up later and knit in the other direction. You'll see this one in knitted shawls and scarves that have a design motif mirrored on each side or border.
And then there are the more exotic casting on methods: Tubular Cast On (makes me think of surfing), Judy's Magic Cast On (I love any knitting term with the word "magic" in it), and the I-cord cast on.
Ready for instructions? Check the Knitting Help section for basic casting on, and advanced casting on.