I commonly knit swatches between or during my project just for fun and to learn new stitch patterns. Besides, they are fast and easy I constantly pour through books for new patterns to work (just got a new book FULL of neat patterns I've never seen donated by a friends mom who never got around to knitting after getting all the supplies).
I usually use a fun, brightly colored acrylic (because it's cheap), usually worsted weight, and a comfortable needle size around the one reccomended. I'll also use larger needles than reccomended so they knit up fast and easy, then scale down if the pattern seems to not want to work losely. Then I just knit away; I've got little squares of stitches floating around my house everywhere; I've turned some in to pot-holders and hot pads for the kitchen.
It's allowed me not only to learn new stitches, but to really get aquainted with the fabric that is made; relative streatchy-ness, firmness, difficulty remembering, visual efectiveness, better done loosely/tightly, etc. Now I've got a much better idea of what something will look like when I'm done, how difficult a garmet pattern will be, etc, as well as more bravery in trying something totally knew and reading the knitting short hand.
The book, incedentally, is Barbara G. Walker's Learn-to-Knit Afghan Book and it goes into Mosaic patterns, slip-stitch patterns, twisted stitch patters, cables, increase/decrease patterns, lace patterns, etc... The idea is to knit a sampler afghan of a gazillion swatches all sewn together. All paterns are designed for both beginners (though pitched for advanced knitters too), so the directions seem pretty darn clear and easy to follow. I recomend it.