Buckets
a.k.a. Pails
Not everyone has heard of buckets or pails, but it's a fun way of smoking up, and a cool thing to pull off at a party. But, it also requires more effort than, say, a pipe.
Making Buckets
To start off, get an empty 2L bottle and a bucket large enough for almost the entire pop bottle to sit in. Cut the bottom off of the pop bottle and fill the bucket up with water, almost to the top.
For your bowl, take the cap off and cut it through so all you really have is a loop that screws on to your pop bottle. Take some tinfoil and push it through the loop so you have a bowl that goes into the bottle when you screw on the cap. Poke plenty of small holes into the tinfoil at the bottom. This is where your weed will be burnt.
Now you're probably wondering what the hell you do. Well, first, put your pop bottle (bottom first if that's not obvious) into the water, so that most of the bottle is submerged, but your bowl remains dry (see 1 at the top). Now put your weed in the bowl, and as you burn it, draw it slowly out of the water, until only about an inch of the bottle is still submerged (see 2 at the top). If you have done this properly, smoke should have been drawn into the bottle from the bowl.
Now screw the lid/bowl off the bottle and quickly cover the opening with your hand. Breathe out until your lungs are empty, place your mouth over the opening, and simultaneously breath in and push the bottle back under the water (see 1 at the top). This shouldn't be done too quickly until you get the hang of it, because if you push faster than you inhale, your bucket will overflow.
This method seems to cool the smoke much like a bong would, and after some practice, you can try to race your friends to finish a toke without spilling any water.
And, in the wintertime, you can try this trick, except instead of using a bucket of water, use some snow.