It's important to know what kind of stain it is before treating.
Peroxide works great for protein-based stains (like blood).
Dish soap works well for treating grease-based stains.
Oxy clean did wonders for a melted crayon.
Alcohol works well for ink.
I've been really happy with OxyClean pretreaters lately. I have a few stains what won't come out to save my life. Even bleach has been ineffective on mystery stains from day care on white shirts. I have one stain that I know is chocolate, but my arsenal of cleaners hasn't been able to get it out of a pair of pajamas (even bleach pens).
I used to recommend the Queen of Clean, but I'm irked that she charges for advice on her site instead of giving a little free in hopes people will purchase her books.