I've had good luck with the thin GW plastic glue, though I often have to switch the metal wand it came with because it gets stopped up. I got a different bottle in an eBay auction I won that's awesome, but I can't recall the name of it (I'll look when I get home, if I remember).
I typically use super glue to glue something together, like an arm to a torso. If it's being stubborn, I'll get the piece arranged with super glue, and then put a spot of superglue somewhere on the seam between the pieces and spray it with activator. This allows for the activator-enhanced superglue to hold the pieces together while the super glue that I didn't spray cures.
My main preference is to plastic glue torsos, legs, and bases together. Depending on the model, I'll plastic glue the backpacks as well. I prefer to use super glue on the arms so that I can switch out weapons.
Loctite glue is wonderful stuff.
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