Alfred Wong has written a guide to weathering your plastic models. This is useful stuff — especially with the wide variety of resin and plasic vehicle models being used in games today.
Armorama has an article on using washes to weather your armor models. While its intended for plastic modelers, it also is great advice for 15mm and 25mm – 28mm gamers. I’m not so sure that it would be useful for anything smaller, though.
Dark Future gaming has a post on using bits of foam to weather a 40K vehicle. The technique could be applied to almost anything, though.
Kevin’s Miniatures and Hobby Table has a post on techniques for weathering metal armor. I’m going to use some of these techniques on my Lord of the Rings Orcs.