Foolproof and cheap
On the top of my machine's case sits a silver dog-turd shaped ornament. It is a solid lump of mazak (or similar soft metal) which is the melted-then-solidified remnant of a HDD casing.
My preferred method of HDD disposal is to first run DBAN (Daryk's Boot And Nuke) on it (details below). This is a little Linux app on a bootable floppy which over-writes the entire disk with a psuedo-random number sequence. I think it uses the Guttman algorithm.
DBAN is more practical with older, smaller drives because it takes a very long time - days not hours - to do a modern high capacity drive.
Then comes the fun bit - physical destruction of the drive.
In the summer I break it up. Rather than trying to dismantle it to its components, I use a 4lb club hammer. The main metal body of the drive is mazak (or a similiar whitemetal) and a few judicious blows with the hammer will shatter it. Putting it in the freezer compartment of the fridge overnight makes it more brittle.
With the case smashed, it's easy to prise out the platters, fold them over and hammer them flat, then repeat. You end up with buckled quadrants which then be dropped into a canal, buried in the garden or whatever.
This is a very therapeutic process. Smashing things - even small things - with a hand hammer is a great way of releasing aggression. I think of the bosses I've had as I wield the hammer.
In the winter, I simply put the DBAN-ed drive (complete) into the coal stove that heats my house and open the draught flap to get a good hot fire. The external components and connectors burn away first, then the cast case melts (and pours through the grate to settle in the ashpan as a turd-shaped blob).
By the time everything has cooled down only the steel top sheet, the spindle and its washers, and a few pressed steel components remain. Of the platters and the PCB circuit board with the firmware there is no trace.
Mind you, I suspect this is overkill. Running DBAN is enough. It renders data unrecoverable by most commonly available software recovery tools. Yes, data may still be recoverable by magnetic remanence scanning or by electron microscopy (the apocryphal example being data recovered from servers in the crushed wreckage of the World Trade Centre) but those high-end processes cost thousands of pounds. Be honest - is anyone *that* interested in your data?
Are they interested in mine? No, of course not. I just like destroying things ;)
DBAN
"A self-contained boot disk that will automatically and completely delete the contents of any hard disk that it can detect... a means of ensuring due diligence in computer recycling, a way of preventing identity theft if you want to sell a computer, and a good way to totally clean a Microsoft Windows installation of viruses and spyware. DBAN prevents or thoroughly hinders all known techniques of hard disk forensic analysis."
http://dban.sourceforge.net/