The "Walkthrough" Approach
This is the most common method used by companies like Google and Squarespace. It walks users through the flow using popovers and intro screens to help you through their UX flow. This approach is the most similar to having a professional on hand to help you with onboarding. To ensure that the popovers aren't too cumbersome, they should be easily dismissed (See my earlier blog post on Popovers).
The "Do Something" Approach
Used by apps like Tumblr and Ness, this approach is great because it gets the user to create content almost immediately. Tumblr considers its UI to be so intuitive that it doesn't need a walk through. If your app is simple enough, this can be a great way to get your user addicted to using your app.
The "Setup" Approach
The simplified approach helps the user through creating his account then you're on your own. This is another good approach for apps with a very simple UI because it doesn't overwhelm the user with options. Companies like Apple and FitBit do this to help personalize their software for your needs.
The "All In" approach
This approach walks the user through the set-up process and prompts them to post something. Pinterest uses this approach to get users to sign-in and post a Pin in one approach.