Loop to loop connection. If your flyline doesnt have a loop on it, then you can use some braided mono to form a loop (shops often sell little kits). In the mono, use a perfection knot. That way you can replace the leaders quickly and easily (and not damage the flyline).

Otherwise, use a nail knot.

So you attach the leader to the flyline whick is the fatter coloured line isnt it?

yeah the fly line is the fat coloured stuff ... thats what is used as weight for casting.

is the best and most simple.

alright guys thanks ill first have to learn these knots or one of them and before that i still have to check if it has a loop or whater hlokk was saying.

so am i looking for a loop on the end of the line?

Years ago when I used to fly fish a lot, I would use Cortland slip on leader loops to give me a loop at the end of my fly line. This will give you the ability to form a loop to loop connection as hlokk described. I haven't bought these for quite some time but I imagine they are still readily available at most better tackle shops, and they aren't very expensive.

Some fly lines come with a welded loop like this. You can make your own, but not recommented unless you know what you're doing (and you need heatshrink and a heatgun).
Otherwise, you can get braided loop tips that have a loop connection that you attach over your fly line to leave a loop there (you can also make your own of these like this). If you do it yourself though, make sure you do it properly though (using some glue can help, but the right type only). 

Another option is to make a loop using a suitably heavy mono. See here.

Theres a few reasons I like loops as opposed to knots. First, I have mostly rio flylines and they have welded loops (but you can cut them off). It makes changing leaders really easy. You dont have to cut the flyline down every time you tie a new leader (they usually leave a length spare at the end of the flyline before you get to the taper, but still prefer not to cut into it if I dont have to). The loop connection also goes through the guides better (depending on how well you/the manufacturer tied the line in the end of the leader). Not that its going through the guides when you're casting or anything, but if you're pulling the knot into the guides while moving between spots, its harder to get out (seeing as you need to red the rod somewhere so you can pull the line out of the tip). Though, getting into the habit of looping the line over your reel and then hooking onto a guide can keep a small amount of flyline out at least.

Use what you feel comfortable with, its mostly personal preference (as long as each method is done correctly).

In your leader (tapered is good) use a perfection knot. Or another way to tie.

no loop guys.

heat a needle up on the gas using pliers & slowly enter the end of the fly line with it, being careful to stay in the middle. go in about 10-15 cms. persevere with the melting until you can poke the leader in till it goes all the way. Next superglue leader & quickly place back in line.seal end with a little more superglue.
Only dissadvantage I can see with this is that there is nothing to stop the leader,& fly from falling back thru the guides when the rod is held vertically!

I also use these..... http://www.flyworld.com.au/view/380/

I believe the most effective methods if the fly line does not come with welded loops, are either a nail knot (if you can tie it correctly) otherwise the braided loop as suggested by others. The only downfall with the braided loops is that you need to keep an eye on them as they are prone to fraying. Especially if  hitting sand, coral or rocks on the back cast.

i will try the nail knot but i will learn to tie it well before i actually attach the leader/fly line.

thanks for that tip syddie.

I personally prefer to use nail knot (you could search in Youtube) to connect mono leader to fly line.  Braided loops have high tendency of failure, again this is my personal opinion.

Yeah thanks, i have started using the albright knot i think its called, seems to work fine and its a nice smooth connection so seems to work fine,