The Basics Aero-Braking: On any world with an atmosphere, it's possible to use the atmosphere to slow yourself down and thereby use less fuel. The more parts on your ship, the greater it will slow you down. [This is not how actual aerobraking works. Right now it's based on part count, but in the future KSP will probably migrate into a ray-tracing method, where place the largest amount of surface area into your prograde will increase drag.]
What is the most efficient way to land? Some say that it's best to just go straight for a collision course, and then slow yourslef down, while others would say getting into a proper orbit first is the best way. Both are wrong. The most efficient way is to give your self a periapsis that is as low as possible. (Around 10km is best, but on worlds with atmosphere, you'll have to take aerobraking into effect when planning yout height.) At your periapsis, face directly perpendicular from the surface, and point your engines towards prograde. Burn off all of your Horizontal Speed so your projected trajectory in the map view looks like a straight down line. Now, since you burned at periaps, you should have little to no velocity. Now simply Control your descent and you should have very little problems landing.
Retroburns On worlds with no atmosphere, the only way of reliably controlling your descent is burning retrograde. To do this, simply point your engines in the direction your falling and burn. If you've gotten yourself into a trajectory that is moving horizontally, look at your navball and you should see your prograde marker be off from the direction pointing directly down. To fix this, point your engines so that they'll be on the other side of the prograde mark from down on the Navball. Burning in that direction should slow your descent at the same time as fixing your horizontal movement. If this movement is more pronounced, and you're relatively high up, you can face perpendicular to the surface and burn, like when you first set up your fall.
Parachutes Obviously, parachutes don't work on worlds that don't have an atmosphere. Keep this in mind.
Now, parachutes are the most simple form of descent. Simply slap on a few and pop them once you're in atmosphere and you're good. Parachutes work by creating as much drag as possible. You can view their force in the VAB parts tray. The yellow droge chutes do not provide as much force as the others, and the big blue one produces the same amount as the small white and radial parachutes, so it doesn't matter which of the three your using, just use the droges on planets with lighter atmospheres, or where you think you'll need to start slowing down earlier. Remember to use more for larger ships, so you have enough force.
Landing Sites Lastly, pick your landing sight carefully. You're going to want as flat and smooth a surface as possible. Try swinging the camera around in the map view a little to find a good place. If you're intending to land on liquid, make sure your center of mass is very low, so that you don't tip over.
Kerbin is one of the easiest worlds to land on. Simply make sure you have enough parachutes, burn retrograde so that you pass fairly low in the atmosphere [About 20 km] and pop your chutes. As stated earlier, you'll want to land on water, but make sure you don't tip over. If you're aiming for a specific destination, try to set it up where you'll enter the thickest section of the atmosphere a little ways before you pass over your target.
Mun & Minmus
Kerbals's Moons are very simple. Peform the braking procedure from the Basics chapter, then control your descent with rocket burns. Make sure you have very little horizontal speed when you hit the ground, as it is easy to tip over in the low gravity. Minmus is very small, so it requires less fuel to land on. Optimal landing spots are craters on the moon and patches of frozen liquid on Minmus.
Duna & Ike
Duna Duna is a good choice for your first interplanetary landing. It has a thin atmosphere, so chutes will slow you down, but you'll probably want to use thrusters, too, for anything bigger than a Rover. Droge chutes will also help, as they open very high.
Ike Ike is very boring. It's fairly much the same size as the moon, and has no interesting geological sites. Approach landing on Ike exactly the same as you would the Moon. The only difference is that you must land in a crater, because all other landing sites have ridges and slopes everywhere.
Eve & Gilly
Eve Eve is one big mother. Not only does 'she' have a very thick atmosphere, but has a mass just over the size of Kerbin, so landing on it is not a problem, but getting back out is. Because of that, you'll need the same amount of fuel you'd need to get into Kerbin orbit, and a little more, when you land. This means the best way to approach it is to land useing only parachutes. You could also try it's mystery sauce oceans, but you'll have to make your center of mass low so you don't tip, once again.
Gilly It's almost ironic how Gilly is the complete opposite of Eve. It has no atmosphere, and a mass and gravity about 1/100 that of Kerbin. This makes it unbelievably easy to land on it, once you've gotten an encounter. It's actually possible to land using nuclear rockets, or even RCS, with small space craft. Land here like you would Minmus. Find a bottom of a valley, which will give you a fairly good landing spot, and carefully slow your descent. Accidentally throttling up could get you back into orbit, or even escape trajectories, if you're not careful.
Dres & Moho
Both Dres and Moho have a gravity about 1/3 that of Kerbin. Think of them as big Muns. Any landing should be done in crater bottoms, but the surfaces of both are not very ragged. One thing to watch out for is Moho's poles, which have huge canyons that narrow down to almost nothing, and are basically hell for anyone who tries to land in them. Neither planet have atmospheres.
Brotip: Jool has an atmosphere so thick it will crush any ships going throught it. It is a gas giant after all. Jool is useful for aerobraking through, however.
Laythe is the only habitible world outside of Kerbin in KSP. Since it has a breathable atmosphere, Jet engines and Parachutes can both be used here, making landing very easy. Since Jet engines are very fuel efficient, it's a good idea to land using jet engines that are using regular rocket fuel tanks, then use the jets again to get out of the lower atmosphere, then using rockets for orbit and return. Laythe is an oceanic world with little land. You can try to land on the islands, but it is easiest to land on oceans.
Tylo is probably the hardest body in the Solar system to land and return on. It has no atmosphere, so no aerobraking or parachutes, and a very high mass. So, unlike Eve, you must have enough fuel to land on it and take off. The best course would be to get your periaps to be as close to the surface as possible. Only 1-5km. Then, after stopping your horizontal movement, try to control the speed of your descent. This should save you some fuel, but it will still be a pain to land on.
Geologically, Tylo is fairly boring. Like the moon, craters are best landing sites, however, you might not have much choice.
Vall is actually fairly interesting. It may look like just another ice moon, but it's actually very interesting. It has strange, chiseled-ice like features, which means no landing spot is going to be perfect. You will most likely be landing on a slope, but, like Minmus, the darker water-ice patches at sea level are flatter than the ridges that seperate them. Vall has gravity less then that of Kerbin, but greater than that of Duna. When you land there, bring a decent amount of fuel. Vall also has a very cool Easter Egg, a strange stone-henge like arrangement of pillars and pyramids.
ALL THESE WORLDS ARE YOURS EXCEPT VALL. ATTEMPT NO LANDING THERE.
Bop & Pol
Bop & Pol are both, once again, very boring satellites with low gravity. No atmospheres here. Make sure you pick your landing site carefully, as the terrain is pretty jagged with no obvious flat surfaces.
Eeeloo is a Water-Ice dwarf planet on the very edge of the Kerbol system. As you will notice, the tectonic plates shifting creating jagged edges between the ice plates. These edges are tough landing spots, but are the only interesting terrain on the planet. It has moon-like gravity and fairly smooth terrain. No atmosphere.