Just getting started? How should you anchor your embroidery thread?
1. Overhand knot
Tie an overhand knot at the tail of your thread and come up from the backside of your fabric.

PRO: Easy!
CON: You may accidentally encounter the overhand knot resting on the backside of you fabric as you continue to stitch. If you need to bring your needle down here you will either need to pierce through that knot or wiggle your needle around to avoid poking it.
2. Distance anchor

PRO: Results in a neat backside and without creating potential future problems.
CON: Uses a bit more thread and adds an extra step, including re-threading your needle.
3. Anchor as you stitch
Come up with your needle from the backside of the fabric and use a finger to hold a short ~2 inch tail of thread. Maneuver the thread tail so it is anchored down by the backside of your stitching while you stitch.
PRO: Results in a neat backside and without creating potential future problems.
CON: It can be a little tricky or awkward to maneuver the thread on the backside of the fabric to create this initial anchor.
4. Weave into previous stitches

PRO: Results in a neat backside and without creating potential future problems.
CON: Can only be used after some stitching has already been laid down.
5. Hidden anchor

PRO: Easy!
CON: Only works when your project includes filling stitches.