Here's a good article about weaving in ends for knitting:
http://www.knitty.com/ISSUEfall04/FEATfall04TT.html
For crochet, I generally just weave ends through lots of stitches where it won't show. Then I try to double back and weave the end through itself (which has already been woven through the stitches).
Yeah, dealing with ends is a pain, and I always save it for last 'cause I hate doing it.