Scientific Blogging runs down the techniques. Follow the link for a full description, with examples:
Cold reading is a set of techniques used by mentalists, magicians, “psychics”, and “mediums” to create the appearance that they know more about their subjects than they could through natural means. Bertoldi (a medium who appeared on CBS’s The Early Show–ed.) demonstrated a simple set of the classic techniques in a rather ham-handed fashion.
Shotgunning: The reader throws out general guesses in the hopes of getting an initial hit and additionalinformation from a compliant subject.
Barnum Statement: Also known as the Forer effect and named after showman PT Barnum, the reader makes statements that appear to be specific to the subject, but that are actually applicable to large proportions of the population. The technique of warm reading involves using additional information to make the statements appear more specific.
Rainbow Ruse: The reader follows a specific sounding attribution about a personality trait or emotion with an attribution of the opposite trait or emotion.