If you can hear yourself, nothing beats tuning by ear. Get a tuning fork tuned to A 440, tune your A string, and tune the others in reference to that. Then check again at the end to make sure that all the twisting and turning you did didn't send your A string out of tune again.

If you're in a space with any noise, or other musicians who are also trying to tune up (or just noodling around), an electronic tuner is a necessity. Although I haven't used out the kind that clamps to the headstock, I agree with Sharon that the little microphones on the others can pick up all kinds of extraneous noise and make the needle or LED jump around until it drives you crazy. Also, some of these things are so sensitive that it can be hard to figure out what they're telling you. So if you have a chance to try one out, do so, preferably in a noisy music store so the shortcomings will be apparent.

Also, make sure your guitar is properly intonated, otherwise you will tune the open strings fine, but have no end of problems when you try to fret the damn thing.