This article introduces steganography and explains some of its techniques and methods supported by examples. My objective was to make this post as short as possible while covering all important information. Your comments are welcome for any possible enhancements or for future articles about steganography by me or other people.
Steganography is all the techniques used to exchange secret messages without drawing attention. It is the science of hiding information.
Some of the old school methods to hide information are: invisible ink, null ciphers, microdots or the use of pinpricks, deliberate misspelling or slightly different font to mark certain words in messages and maps.
Itís a normal text written in the clear, but includes a hidden message. For example:
"Fishing freshwater bends and saltwater coasts rewards anyone feeling stressed. Resourceful anglers usually find masterful leapers fun and admit swordfish rank overwhelming anyday." 
If we take out the third letter in each word, we get: Send Lawyers, Guns, and Money.
Modern steganography refers to hiding information in digital images, audio files or even video. There are many methods and tools to do that. Nevertheless, and to have double protection, secret messages are first encrypted and then hidden using a steganography tool.
The steganographic process can be described with the following formula:
Cover medium + Data to hide + Stego key* = Stego Medium
* Note that if no encryption is added, there is no need for a Stego key.
To reveal the stored message, the LSBs are extracted alone from the Stego Medium and combined together.
Hiding messages in audio files
Two known methods to store message in audio files are: Frequency Domain and Time Domain.
In Frequency Domain, a message can be stored in practically unused frequencies of audio files. For instance, In a CD where the sample rate is 44.1 kHz, the highest frequency without aliasing is 22.05 kHz.
Now, because the average peak frequency that an adult can hear is approximately 18 kHz, this leaves 4 kHz of frequency that is "practically unused". This space can then be used to hide a message (a copyright message for example).
In Time Domain, a message can be stored in the LSBs, something similar to what we saw with images. To maintain CD quality, it is important to encode at 16 bits per sample at a rate of 44.1kHz. However, we can also record at 8 bits per sample using the high significant bits (first bits on your left-hand side) and save the other 4 LSBs to hide our message without making any perceptible change to the audio quality.
In a comparison between the two, detecting messages hidden with time domain is harder because it requires more resources. 
Watermarking (digital watermarking)
Whenever there is a topic about steganography now a day, Digital Watermarking is also mentioned. It refers to embedding hidden messages as well, but not for the purpose of sending secret information. Instead, Watermarking is usually used for the following:
1. Copyright protection: include ownership information.
2. Copy protection: include instructions to stop data copying devices from making and distributing copies of the original.
3. Prove data authenticity.
4. Tracking: If copies of a file are distributed illegally, the source can be revealed if the master copies had unique watermarks included.
The following freeware tools have been tested by me on Windows 7 and they work great:
1. 4t HIT Mail Privacy LITE 1.01
2. S-Tools 4.0
To find more tools (commercials and freeware) make use of the following lists as they are the best I found online or do your own googling: