It depends. If you are using wool and you don't care if a few stitches have both colors in them, you can use a spit splice. This is my favorite method. Or (with any yarn) you can do a Russian join which takes more time but you don't have an overlap. You can find both of these in the videos here at Knitting Help. These two have the advantage of not leaving any tails to work in later and not leaving any bulkyness in the knitting. You can also weave in the ends as you knit and cut them off, which does leave a bit of bulkyness. Or you can leave your ends dangling, and weave them in with a darning needle later, which is a lot of work.