Saddle Stitch Binding
Where with most of the other binding methods on this site you need a fair amount of pages, with saddle stitch binding you only need 8 pages (2 sheets of paper, folded). So, this makes the most sense when binding zines, chapbooks, novellas and other short works. The fact that its also incredibly easy and cheap helps as well!
Saddle Stitch stapling usually requires, what is referred to as a long reach stapler. It is like a regular stapler, it takes regular staples, the only difference is that it has an extended arm, so that you can put staples in the middle of a page and fold it in half properly. There are many different brands, here is one of the most common:
Mine is pretty well worn, but it still gets the job done. It cost me, I think around $25. Here is an example of saddle Stitch binding in action, Lululand #4:
It's a pretty simple process, all you do is arrange the pages in the proper order, staple in the middle (for a standard letter sized paper that's 5.5" in), fold and viola, you're done. The red plastic thing on the stapler is a guide to make sure you staple in the right spot, there is also a ruler on it for accuracy.
Now, staples aren't the only way of saddle stitching a publication together. In fact, the original way to do it was to sew or bind the pages with string (hence, "Stitch"). If you don't have too many pages then you can actually run it through a sewing machine, I have no idea how to do it since I haven't a clue how to use a sewing machine. If you want to bind it with heavier string or twine, just use a punch, make a couple holes, run the string through it and tie a knot. There are actual techniques for sew binding as well, here is one:
You can also use ribbon, wire, plastic ties or a rubber band (although I wouldn't recommend it, they tend to dry out and break, scattering the pages everywhere).