I tend to leave a tail and then stitch over the tail as I progress, anchoring it. This is especially easy if you're using a thick, colored fabric. Cheap white flour-sack towel type fabric makes this method difficult, where every single piece of thread is visible through the fabric.
For some different no-knot techniques, I love the tutorials by Mary Corbet:
Beginning and Ending Threads: Photo Tutorials on Common Methods
You can get lost in all her tutorials! The pictures are always well lit, in focus, and plentiful. Her descriptions are, for me at least, very easily followed. She has helped me really advance my embroidery techniques.