In this tutorial I'll be working with a space ship I recently modeled. It's a fairly complicated object mapping-wise - it has lots of curved surfaces mixed in with a lot of chamfered edges and beveled segments, and they're all going to require a different method for mapping. I'm going to assume that you have your own model that needs UVW-mapping coordinates, though hopefully it isn't as complicated as this. (As a note, don't be fazed by the fact that this ship has multiple smoothing groups and materials set up. None of this should affect the UVW-mapping process.)
Before we begin, I'm going to go over a few basics, and mention a few shortcuts. First, three hotkeys you'll find immensely useful are F2, F3, and F4. F2, when pressed, toggles "Shade Selected Faces" mode - essentially, when this mode is on, selected faces will appear in bright red. F3 toggles wireframe/shaded mode, and F4 toggles "Edged Faces" mode. All are very useful throughout the modeling process, but especially when doing UVW-mapping.
If you haven't already, select your object, and add an "Unwrap UVW" modifier.
Last on our list of basics... Clicking on the "Unwrap UVW" modifier in the modifier stack will go to the "Select Face" sub-object level. This means you can click on your object, in the viewport, to select the faces you want to work on. And... I hope you know this already, but you can ctrl-click to add more faces to the selction set, and alt-click to remove faces.