Start out by working out your points of articulation. Ideally each limb/digit should be able to move in complete freedom, though practically this is not always possible. Sometimes you will need to put on one joint that allows movement along one axis, then another joint which allows movement on another axis.
This might help explain, though these pictures were taken at night (and I still don't understand how the flash works... or basic photography).
Hello Mr. BruteTRON, my handy mech.
Time for a check up. We're just going to borrow the arm for demonstration purposes.
As you can see most of the articulation is in the top half of the arm. Reduced to the component parts you can see the pieces used around the 'elbow'. I found I had a lot of the 'gun shaped' and 2x1-with-round-bits-on-the-end' bricks and used them for articulation.
Now let's look at the leg.
Like the arm, most of the articulation work is done on the top part of the leg.
Reducing down to parts again you see good ole 'gun' and '2x1-plus-weird-hoops' bit (I'll leave brikpedants to post the right names).
Basically - work out where you want articulation and find bricks in your collection to try and make as many stable points of articulation as possible.