This works with wool, and best with wool that can be felted. Here's how:
When you are nearing the end of the skein, and are ready to join on a new skein, simply split the end of your yarn back about an inch or inch and a half. If your yarn is plied, split the plies, and if your yarn is a single ply, gently untwist back an inch or so and tease the fibers apart. Now gently tug off half of your split, leaving the other half attached. Do this also with the new yarn you are joining on.
Now, you have two ends that are half split to about an inch or so each. Line those ends up, overlapping your plies so that they make a whole. Here comes the fun part--spit on the the inch or so where the yarns are to join. Then, between your palms, rub the join vigorously to felt them together. Once you have a join that is resistant to being pulled apart, you can continue knitting. Best thing is, no ends to weave in!
Have fun and keep on knitting!
The Knit Chick