For my recent trip to the Edwardian Ball I wanted old-fashioned, natural looking curls. Curling irons are great, but the spirals are just too uniform for me and my straight hair doesn't like keeping the shape for very long. By using an old technique and letting it dry rolled up, my hair not only looked natural and amazinnnggg, but it held all the way through the next day! The additional pros are that it's cheap/free (you can use rags, cut up old shirts, nylons, socks, or even paper bags!) and doesn't damage your hair!
Here's a how-to video you can follow to get the basic idea of rolling your hair, but you can experiment with curl size and the way you twist it up for different effects! For my look I did about 12 rolls and twisted the strands a bit before wrapping it up.