Best is a matter of what and where Mike. But adhesives aside for a moment many modellers routinely pin every joint too if the design of the parts allows, especially with heavier parts. The pins have a secondary benefit too, since they can act as holders for parts during painting, minimising contact with painted surfaces.
Sometimes superglue seems to be the only possible choice, but it tends to be a little brittle so where feasible epoxy is well worth using, again particularly with heavy parts. It's sometimes worth using a little of both if the joint has the space - the epoxy for strength, the superglue for a quick 'grab'.
In case you haven't come across this before, for metal kits it's a good idea to clean the meeting surfaces well before glueing, so that they're shiny, that way the glue is adhering to metal and not a coating of oxide.
Einion
P.S. There is also soldering. Although nearly nobody uses it on figures any more it's theoretically capable of giving the strongest joint where it can be done, although it can't be used if you want to paint in subassemblies. But if you like to assemble most or all of a figure before priming and painting then it's certainly worth considering.
