A thing I have always done, if time is available, is sit down and study the job in detail.
A notebook works wonders. I study the part from the drawing, and machine it in my mind. Eventually I can write down the whole machining process. Then go thru it to see if there are any errors. When you come to actually do the machining, it is like you have done it all before, many times. I wouldn't use this method for a simple to make item, but if just starting out, it is a good habit to get into, making notes and quickie sketches, they don't need to be great, just so that you can understand them. Anyone looking at my notebook would be hard pressed to understand what I was doing, but to me, it is a mine of information.
Even though I do have fancy gizmos and DRO's, if it is a complicated part, I still blue up and mark it out just like if I was winging the job (cutting it out by splitting the lines). This gives me a continual checking system as I am machining to my notes. You can easily detect if something isn't going quite right. I also use datums all the time, just so that I can go back a few steps if needs be, and check things out.
One thing I really hate with a passion is using the four jaw, even though I can do it all perfectly, I just think that someone put the damned things on this earth just to annoy me, and I will go to great lengths to get around having to use one. I find I can get just as good results by using the Keats angle plate.
Like Dean, I too use jigs and fixtures, but only if really needed. Normally I try to get the part out just by normal holding methods. Where they really come into their own is when you are making multiple parts, spending an hour or two making a fixture can save you days of work later on.
One thing I always try to do is to machine up the material I will be using into the correct size and perfectly square, rather than starting out with a hunk of metal and whittling it down to size as I go along. This is where the datum faces I mentioned earlier come into being.
Bogs