Most prints can be done with zero support material. For overhangs that are less than 45o, the perimeter of the next layer can be printed without drooping into thin air. Many times, it is possible to model your object or print it such that these overhangs are avoided. For more design tips, check out this page.
There are still many tricky shapes that are far easier to print with supports. You can try your luck with using Slic3r or Skeinforge to automatically generate support structures, or you can design your own custom supports.
Designing Your Own Supports
If you know your perimeters will print in a certain direction, add supports that are perpendicular the direction it will be printed in. A good rule of thumb is to keep supports perpendicular to the outer perimeter for each layer.
You should also design supports to be as thin as possible. Ideally, your support will be only one layer thick so that it can be removed more easily.