Diandra and I often complain about weaving in the ends. I have gone to extremes to avoid having to sew anything together or weaving in ends, this includes: never finishing projects or just leaving UFOs forever, vetoing stripes larger than 2 rows, and many more ugly things. Then I resorted to weaving ends as soon as possible because I knew I won't do it later, this seemed to be the best answer. Until now.
This method works to weave in ends as you knit so you don't have to do it later. It also works with any kind of cast on method, the one shown here is the long-tail cast on. There is no real difference, except that your tail would be coming from the first cast of stitch (or slip knot-if using) instead of the last cast on stitch. No biggie.
I've also included instructions to get rid of a cast-on gap (did you see the last tip: getting rid of bind-off gap?).
Cast on total number of stitches plus 1, leaving a longish tail, 6" should do the trick.
Arrange your stitches equally (or however you like them, or as pattern indicates) but put 1 extra stitch (this is really your slip knot-not an actual stitch) on your first needle. I've arranged my 24 +1 as follows...Needle 1: 9 sts (bottom needle), Needle 2: 8 sts, Needle 3: 8 sts.
Join in the round, slipping your first stitch (slip knot) without working it to your right needle.
Holding both your working yarn and tail behind this slipped stitch, work the first 4 stitches of your first round as indicated in your pattern (Stockinette Stitch, Garter Stitch, Rib...) by holding both strands and working as a double strand. Now you can trim this tail off, or use it as a round marker, remembering that it is 4 sts into the first round.
Drop tail and work the rest of the first round as indicated by pattern to the last two stitches.
Work the last two stitches together by knitting or purling them together depending on what stitch your pattern indicates for the last stitch (i.e. if pattern says to knit last stitch, you should K2tog; if pattern says to purl last stitch, you should P2tog). Now you have gotten rid of the cast-on gap!
Another way to do this is to cast on 2 extra stitches and decrease those two extras over the last 4 stitches of your first round. So basically, if you were working in Stockinette Stitch, you would work your first round to the last 4 stitches and K2tog twice.