2010-06-19 Sat 9.30am Start - Oxford Graduation Ride (Because Long Rides are Fun)

Nothing really beats having the route in your head, because it allows you to ride with a steady rhythm. I'd say the best way to achieve this is to study the map, then ride over the roads, then repeat until you achieve perfection (I haven't got there yet).
This is what I tend to do, study the map, jot down some directions if it's getting complicated, and then head out. I normally learn new routes by heading out on a road I know and then taking different turnings before joining back up with the original route. then over time you can deviate more and more until you have a good knowledge of where roads lead etc.

Getting lost intentionally can also be useful, so long as you are careful not to get too lost! For example just heading off down a random road, and trying to find your way back on track without doubling back. Most of the time there are enough road signs to mean you're never really lost.