Socks are WONDERFUL to knit!!! However you do them! At least I think so. And I was so fascinated with sock knitting and so thrilled when I actually turned a heel for the first time that I set out to find the best method of sock knitting for me.
I started with double points and although I actually liked working with them, doing the second sock was a real pain. I tried magic loop next and found it gave me the basics I'd need for the two at a time patterns, both with one and two circular needles. So I went checking out two at a time methods.
Two socks on two circs came next and I found it a little awkward at first but then got accustomed to it and it wasn't so bad after that. The up-side was that when I was finished, I was finished an entire pair and didn't have to go back and play deja-vu with the other sock! Also, both socks were the same size and I didn't have to count rows on the first to make sure I had the same number of rows on the second one. That, to me, was a major pain in doing one at a time. No matter what I did or how carefully I counted, that second sock was always different.
Once I got comfortable with the anatomy of socks and had knit a couple of pairs, then I finally tackled making two at a time on one needle. I used Melissa Morgan-Oaks Book, "2-at-a-time Socks" to learn the method. It's a relatively good book but it did take some trial and error before I got it. Experience is the only way to really get comfortable with any method and that holds true for this one particularly.
Another book I've relied heavily on to learn the basics of sock making is Ann Budd's excellent book, "Getting Started Knitting Socks". If you've never knitted socks before this is definitely the one you want to learn from. Once you've done a pair or two with the double points (or magic loop) you'll know how socks evolve and will learn the two at a time method of your choice much faster.
I tried Melissa Morgan-Oakes' book early on, before I really knew much about sock construction. It ended up with my throwing book, needles and yarn across the room in a fit of frustrated rage!!!! But since I've taken the time to learn sock basics and finally moved on to two at a time on one needle, I find it's an invaluable resource and have recently made about 8 pairs using it.
My next exploration will be doing two socks at a time using the method Cacuun mentioned - double knitting so that one sock is inside the other throughout! I've already got it printed out but am still working up the nerve to try it.
Hope this helps you. Sock knitting is so much fun I love to see everyone try it!