Even though there is no 100% effective method of keeping your sensor dust free there are some common sense steps you can take to limit the amount of dust you collect.

Keep it capped
Never leave your camera body without either a lens or the body cap. It should have one or the either at all times. Obviously you have to change lenses but make that procedure as quick as possible by having the new lens ready to slip on as soon as you take the first lens off. Don't take one lens off and leave the camera body open while you get the second lens ready.

Along these same lines keep your body and lens caps clean. You're shooting yourself in the foot if you allow your body cap to collect dust and then slap it onto your camera. Attach the body cap and the lens cap to each other to keep dust out.

Power Down
Turning your camera off before changing lenses can reduce the static charge that attracts dust. This may be folklore (some people have suggested as much) but it makes sense to me so it's what I do.

Cleanliness & All That
This one should go without saying but consider this your reminder to use clean hands and work in a clean area when changing lenses. Also keep your camera bag and camera storage areas clean so random dust doesn't settle into your camera and work its way into where it doesn't need to be.

If you're shooting outside and want to change lenses you can't guarantee that you're hands are spotless or that the area is dust free. So try to avoid an overly dry or dusty area, face away from any wind, point your camera at a downward angle and complete the process as quickly as you can.

Even after following these steps you're probably still going to have a dust buildup on your sensor eventually and that means you're going to have to clean it. That sounds scary right? It kind of is (but only for a minute) so make sure you're ready to take it on and that your sensor actually needs cleaning.

Testing
If you shoot primarily at wide apertures (say portraits and low light situations) you may not notice the dark spots that spell "dirty sensor" for a while. Testing your sensor before you actually starting seeing the evidence in all your shots is quite simple and lets you address the potential problem before unexpectedly ruining a memory card full of shots.

1. Attach a zoom lens to your camera body and zoom out to the longest focal length. Choose a very small aperture setting (f/22 or better)
2. Manually focus to the closest focal point
3. Shoot a plain surface like a white wall, a blue sky (cloudless please) or even your computer monitor (create a blank white object in Photoshop and zoom until it takes up the majority of the screen)
4. Open up the photo you've just shot in Photoshop. Use the levels option (auto level should work just fine), zoom in and you'll see any evil dust spots that may have taken up residence on your sensor.

Cleaning
Depending on how bad the dust is you'll make the call whether you want to clean it now or not. If you decide now is the right time you have a few options on your path to sensor cleanliness.

1. Professional Cleaning This one will cost you the most time and money. Most camera shops don't actually do sensor cleaning in-house. Instead they send it back to the manufacturer to have it done.

2. Baby Step It's possible that the dust on your sensor is loose dust that just a needs a nudge to move on. You can use a manual blower/bulb for this. This step is definitely worth trying but unfortunately most of the dust is going to be too stubborn for this method.

3. DIY with Task-Specific Equipment As DSLRs become more popular more companies are developing tools and products specifically for them. This includes sensor cleaning tools. Specific tools are in my opinion the best option for cleaning your sensor. If you use a trusted company you know the materials are safe and effective. In addition they come with instructions that are tailored for the particular product. Better instructions for the product you're using means less change of a stupid screw up that will hurt your sensor and hose your camera.

   Visible Dust is a Canadian company that offers cleaning kits, brushes, cleaning solutions and basically anything you'd need for cleaning your sensor.

   Photographic Solutions makes Eclipse cleaning solution and Sensor Swab cleaning wands. This combination is recognized as one the best when it comes to cleaning sensors.

Warning
- Never ever, ever use canned, compressed air on your sensor. The propellant used in those cans can leave a gunky residue on your sensor thus defeating the purpose of cleaning it in the first place.

- DO NOT use brushes, swabs or cleaning solutions you just have lying around the house. You need tools that are incredibly clean and contaminant free. Don't risk screwing up your camera because you don't want to shell out the money to get the right tools.

- Whenever I said sensor I really meant the "sensor's protective coating." That protector is what you're really cleaning but it sounds better to just say sensor right?

- It goes without saying that cleaning the sensor yourself is a delicate process and you should be very, very careful.