I really think it depends on what yarn you're using. My first striped project I used acrylic yarn, so I knotted the strands when I changed color and they are hanging off the side. I will eventually weave them all in. I know there's a better way though.
Check this out for different methods, scroll down to Joining Yarns:
http://www.knittinghelp.com/knitting/basic_techniques/misc.php