I prefer Zazen, specifically Soto school Zazen. Sit facing a blank wall. Your back should be straight and your vertibrae should feel balanced, like they're stacked in a perfectly balanced tower - not leaning in any direction or else the tower would fall. You can sit however you like, but lotus or half lotus is traditional. If you choose lotus or half lotus be sure that you're sitting on something that raises your butt (but not your legs) a few inches - a pillow works fine. This is to give your hips room to rotate downward, which is how you sit in lotus without putting strain on the knees. The hands should be settled into your lap.
And now stare at the wall. No music, no moving, no thinking. The point of Zazen is to spend some time alone with yourself, which you never really get to do. You're always doing something , even when you think you're doing nothing. Give it a try and you'll discover that your mind wanders away or starts babbling on about something pretty much immediately. You may even find your mind trying to describe to you how quiet it's being and how deep in meditation you are ... Which is sort of like angrily screaming about how not angry you are - it totally proves itself wrong.
Zazen can be difficult to work with, but the ability to shut up one's mind is a remarkably useful skill. Most unpleasant things you experience are really only unpleasant when compared to something else, something better. Zazen allows you to be fully in the moment, not comparing now with something else unless you so choose.
It is one of the fundamental steps to enlightenment according to Buddhism, it is a key part to acting without lust of result (core to Hindu enlightenment and enacting the True Will in Thelema), and it allows your entire being to be present and participating in spell or ritual.
I agree with yajra009. The JoyofSatan website provided me with some interesting and informative exercises. Although I disagree with their theological views, the technical exercises are great.
What really helps me with Meditation is getting outside. Often times I try to meditate indoors for whatever reason (usually rain or temperature) and I just can't seem to concentrate. I feel "closed in" in doors and other family members' energies are quite bothersome. As soon as I sit outside, in a quiet area, I feel naturally calm.
I initially learned to meditate (they called it Going Within) by counting my breaths. Inhale counting to 4, exhale counting to 8. That seemed to work better than a later method I was told to try; which essentially was counting to 12 and then 13 visually in my mind. I'm Clairsentient and my mind tends to wander onto every little random emotion/thought when I try to shut things down. I found that counting my breaths didn't allow my mind to wander as easily as the visualization techniques; thus it's more effective for me.