I am an exotic animal trainer, so I firmly believe in using positive reinforcement to get and maintain the behavior I want from an animal. That beings said, my dogs are--shall we put it kindly--slightly unruly. As in many professions, when a zoo keeper comes home, she doesn't want to continue her work day. Consequently, a zoo keeper's pets are often a little spoiled.
Teaching a dog to walk on a loose leash is actually fairly easy to do using R+ methods (R+ is a shorthand for positive reinforcement, which is where you give the dog something it likes after it does something you like), but lazy zoo keeper that I am, I've never gotten around to it. So I have tried almost all of the instant stop-pulling devices known to mankind to try to get out of doing work at home. I'm going to describe them in chronological order--the order I discovered and used them. I have not tried prong or choke collars, so they won't be on the list.

First, meet the product testers:

Sparky (I'm smaller and more sensitive, but I can pull when I want to!)

Daisy (I'm bigger and goofier, and boy can I pull!)

Head halters
There are many different kinds of head halters on the market, but they can each be placed in two distinct families. On one type, the leash attaches under the chin, and on the other, the leash attaches behind the head. They work on slightly different mechanisms.
Under the chin attachment
For under the chin head halters, I have used both the Halti and the Gentle Leader. I started with the Halti. The Halti is easy to put on, though it looks a bit intimidating at first. You simply put the muzzle loop over the nose, then attach the collar looking bit around the back of the neck. Attach the leash to the metal loop under the chin and off you go.
I moved onto the Gentle Leader because Sparky could simply brush the muzzle loop of the Halti off of his nose. The Gentle Leader has an adjustable muzzle loop that you lock into a specific size for your dog. That does make it a bit more difficult to adjust and put on, but it kept my wily dog from brushing it off.
Pros:
*Both the head halters initially helped with the pulling.
*Both head halters were fairly easy to put on.
Cons:
*Daisy quickly built up the muscles in her neck and learned how to pull with her whole body, head and all. So after the first couple of days, she was pulling almost as hard with the head halter as well as without. The pulling was less intense than on a regular collar so it did have some effect.
*Sparky has a very sensitive muzzle and would paw at his face until his mouth bled to try to get the nose loop off.
Behind the head attachment
After my first foray into head halters, I learned about a type of head halter that attaches behind the back of the head. Examples of this type are the Canny Collar (which I have used)and the NewTrix Easyway head collar (I haven't tried this one, but it seems to work on the same principle). The difference between this type of head halter and the previous type is that these are designed to put pressure on the back of the neck, instead of just turning the dogs muzzle. This seemed to me like what my smaller, sensitive-nosed, dog needed. It takes the pressure off the muzzle. The Canny Collar definitely worked, but I ran into the same problems with both dogs: Sparky could brush off the nose loop if I wasn't paying attention, and Daisy had such strong neck muscles that it wasn't as effective as it should have been. Nevertheless, if I were to start out with a head halter, I would say go straight to a behind the head attachment. Daisy is actually fairly walkable with this set-up, and Sparky doesn't make his mouth bleed trying to scrape it off.
Pros:
*In my extensive two-dog trial, it seems to be more effective at stopping pulling than any other product.
*Better for dogs with sensitive muzzles because the pressure is on the back of the neck.
Cons:
*Nose loop falls off if you're not paying attention and your dog is.
*A little tricky to put on.
*With all types of head collars, people often asked if my dogs were mean, because the head halters look like muzzles. They aren't muzzles at all (the dog can pant, eat, drink, and yes, bite with them on), but that's not immediately obvious.

Harnesses
I got tired of people asking if my poor, sweet, innocent darlings were vicious, so I decided to try an EasyWalk harness. Basically, it's a harness that... well, let me just quote from the Premier website: "The Easy Walk Harness' unique front-chest leash attachment stops pulling by tightening slightly across your dog's chest and shoulder blades. The gentle pressure steers your dog to the side and redirecting his attention back towards you. The Easy Walk Harness never causes coughing, gagging, or choking because the chest strap rests low across the breastbone, not on the delicate tracheal area."
I tried this on both my dogs, and Sparky was rubbed raw underneath his legs (can't win with that guy, he's mister sensitivity), while Daisy pulled so hard that her leg pulled up and out of the harness, leaving her free to run willy-nilly down the road.
Pros:
*No one asks if your dogs are mean
*No bleeding muzzle
*Does reduce pulling somewhat
Cons:
*Raw underarms (for the dog)
*Not good for serious pullers, as they can pull out of it (if they are sneaksy little devils like mine)
*The chest strap rests low all right--so low that I kept tripping my dogs with the leash or even the chest strap itself
Regular harness, different leash attachment
After spending extra bucks on the "special" no-pull harness, I read a great trick in a dog training forum: get a regular harness with a ring on the front (like the one Sparky is wearing in his picture), and attach the leash to the front ring! I tried it, and by golly, it worked! It still is not as effective at preventing pulling as the Canny Collar, but it's actually better than the EasyWalk.
Pros:
*Inexpensive (probably the cheapest of all these options)
*Looks normal to have your dog on a harness
*Doesn't trip your dog with a "specially designed" chest strap
*Easy to put on
*No chafing if correctly fitted
Cons:
*Not as effective as a head halter

Conclusion
So, that's my experience with no-pull gizmos. I would love feedback on ones that I haven't tried, like the EasyWay headcollar, or some of the other no pull harnesses, like the ones by Sense-ation. Please don't tell me to try a prong or choke collar. I'm not gonna, and that's final. I hope that helps you make a decision about where to start with your no-pull journey. All of the options described above will work MUCH better with some good R+ training, and you most likely don't have the great excuse of "But I do it all day at work!" that I do. Try it. It's fun!