Here's the way I've been saving lately, which has been working GREAT. Not everyone may be able to do things this way, however.
At my work, I can setup direct deposit to go to however many accounts I want. So, for example, I can set it up so that 85% of my pay goes to my main checking, 10% goes to one savings account, and 5% goes to another savings account.
Well, with ING you can open up as many savings accounts as you want and label them however you please. In my case, I've got 2 savings accounts right now: One is labeled "Emergency Fund" (which gets 10% of my pay), and the other is labeled "Travel Fund" (which gets 5% of my pay).
Since I have these setup to come directly out of my paychecks I don't ever see the money and am used to not having it to spend.
I've been trying this for a few months with great success, and I am planning on opening more savings accounts for recurring things I'll have to budget for, such as Gifts, car repair, etc. Then I'll just go back and setup my direct deposit to put a certain percentage into each account every month. Automatic budgeting =