I realized this post was a bit too ambitious when it took me ... a long time to write even the finishing section. So I've linked to some really good, comprehensive websites that have excellently written and illustrated articles on techniques for just about anything. Following this is my own take on, and links to specific articles, regarding finishing techniques.
Learn How to Knit : This is a really phenomenal site, based in the UK, that explains the basics of knitting better than I ever could. This is the site I wish I had known about when I was starting. Also explains the basics of crochet, which is useful for the knitter as a finishing technique.
Knitty.com: This online knitting magazine has tons of great, free patterns, but it also has a number of technique articles. The archive, unfortunately, lists out only patterns, but you can retrieve an article from Google pretty easily, if you know it's there. But if you haven't come across Knitty yet, I'd recommend browsing each back issue directly - there's a treasure trove of information in the articles, and they are uniformly well-written and well-illustrated.
The Knitting Room: This is a corner of KnitPicks' site. Though they are primarily a yarn company, KnitPicks has been branching out into technique instructions, both in their catalogues and online. They've actually done a phenomenal job with this, and The Knitting Room is becoming my go-to site when I need to brush up on a technique.
I think the most frustrating part for me, learning to read a pattern and branch out into more complicated knitting, was the finishing instructions. Many techniques are actually explicitly spelled out in a pattern, but not finishing techniques. A typical sweater pattern can go on for pages, and then, once you're left with sweater bits, merely states: "Weave in ends, block pieces to size, and sew seams." Sounds simple, but how? Here I've assembled some good online articles about all these techniques.
"Weave in ends."
Here I will refer you to KnitPicks' article on this subject, which illustrates how to do this better than I could. They begin by saying there is no one way to weave in ends, which is true, but there are definitely wrong ways. A perfect example of this is my first sweater :).
"Block work to size."
Blocking is, in essence, getting your work wet and slightly stretching it, then pinning it down and letting it dry. Knitty has a good article on blocking. I find blocking kind of tedious, but it really does help and is, in some cases (like lace), indispensible to the final character of your knitting. For a good article on "Why suffer the pain of blocking?", see the Yarn Harlot's entry entitled "Be the Pin".
This injuction drove me crazy as a beginning knitter. After a few attempts at just, um, randomly threading yarn between pieces, I realized there had to a good way to do this. There is. It's called mattress (or ladder) stitch, and it's actually kind of magical how well it works. Knitty.com has a good article on mattress stitch, as does Learn2Knit (scroll down).
"Graft or Kitchener stitch together."
True confessions: I actually kind of love grafting. This may be because I first learned how to graft here. This site is an amazing sock-knitting tutorial, and my first pair of socks, knit sitting in front of my laptop, following along with Terri Lee's instructions, were the most polished piece of knitting I had ever constructed at that (very early) point in my knitting career. The link is to page 6 of the tutorial, where she explains Kitchener stitch, but do read the rest - I would never have tried sock knitting without this website. All the reference sites listed above have good articles on grafting as well, but this is my favorite.
If you prefer a hard copy reference guide to knitting techniques, the following are books I've found useful. There are many, many books out there and I haven't read anywhere near to all of them, but these were helpful for me.
Vogue Knitting: A solid, all-around reference book for everything from knit and purl to designing your own sweater. I hope to own this one day, but am now just checking it out unreasonably often from the libary.
Finishing Techniques for Hand Knitters: Just what the title says. I don't love the tone of this book - it's a little condescending - but the techniques are useful and well-explained.