Contrary to what many people deem as unacceptable, I use plain old diagonal cutters; sharp ones. I just nick the insulation with the tips and use light pressure to slide the insulation off. This technique takes some practice, but I never have to go looking for wire strippers or carry around cutters and strippers.
For shielded cable I prefer using a utility knife, like the 1 inch blade made by Olfa. I just score the jacket enough that it can be pulled of easily by hand. I have been criticised for this technique, but I have yet to nick the inner conductors or destroy the shield. For really fine wire, if you heat the insulation slightly with a lighter, alcohol lamp or whatever, you can usually just pull the insulation off with your finger nail.