Atmospheric Steering
For rockets that operate exclusively in the Earth's atmosphere, such as hobby rockets, steering can be accomplished in the same way as an airplane. A rocket can steer by using pivoting tailfins similar to the adjustable control surfaces (e.g. the elevators or rudder) on an airliner. By adjusting airflow over the tailfins, a force can be created to push the rocket in a new direction. Even if a rocket uses some other means as its main method of steering, tailfins still help to provide passive aerodynamic stability.
Exhaust Vanes
By placing structures similar to tailfins behind the exhaust of the rocket rather than in the aerodynamic slipstream, the exhaust gas itself can be directed by rotating the fins, which will in turn direct the entire rocket. Such surfaces are known as exhaust vanes. The infamous German V-2 rocket -- the first ballistic missile -- made use of exhaust vanes along with tailfins to steer. However, the obstructive graphite vanes caused some loss of thrust.
Gimbaled Rockets
The most effective method of directing rocket exhaust is to rotate the entire engine. By mounting the engine in a "gimbal" -- a mount that includes a gyroscope for orientation and a guidance system to adjust electrical actuators -- the engine nozzle can be rotated by a few degrees. This changes the direction of the exhaust relative to the center of gravity of the rocket, creating a torque that changes the direction. Most modern rockets use gimbaled engines with digital computers to adjust the direction of thrust.
RCS Thrusters
Reaction control system (RCS) thrusters, or "verniers," are small auxiliary rocket engines mounted on the side of a rocket, fired in short bursts to provide thrust off to the side of the vehicle. RCS thrusters allow a rocket or spaceship to steer without using its main engines or to adjust steering errors caused by the main engine. However, as RCS thrusters have only a fixed thrust, the rotation rate can be changed only by a fixed amount.