The airfioil method uses airfoils on the fins of the rocket, much like a regular airplane does. The airfoils control the direction of the rocket but not the speed. The airfoils are used to steer through the atmosphere.

The jet fin method has several fins inside the nozzle of the rocket. These fins are moved to control the rockets direction.The jet fin method of controlling the rocket is very seldomly used today.  

The secondary injection method is where liquid or gas injected into the rockets nozzle to redirect the rocket in the right direction. This metohd is used in many of the solid fueled rockets.

The swing engine method is when the whole engine and nozzle move or swing to to control the direction of the rocket.  This design is used on the Space Shuttle's main engines.

In using auxiliary engines to control the rocket there are small engines that are fired off to control the rocket. This is more common in sensitive outer-space manuevering.

The gas jet method is similar to the auxilliry engine method but instead of using small engines to control the rocket it uses gas jets.  

 images are provided by http:/spaceboy.nasda.go.jp/note/rocket/E/roc09_e.html