As an engineer and a hobbyist, I build lots of stuff. Often, when stuffing a PC board with through-hole parts, I'd clamp the board in a special vice meant for just that purpose. I'd load the parts in and start soldering.
If the special vice were not available, I would not hesitate to put something together using alligator clips, vice grips, some #12AWG bus wire, and a block of scrap steel for weight. It didn't look pretty, but it got the job done (which I think is one definition of engineering; another one being like science, but louder).
One time, I was winding up some of my own guitar pickups, and I needed some sort of cover to put over the top, purely for esthetic reasons. To fabricate something out of lightweight cardstock (like a 3x5 card), I built a wooden fixture/jig around which I wrapped the cardstock to get the right shape.
I carefully glued the wrap portion. Then I glued on a top piece, did some minor trimming, and spray painted it all flat black. It's not bad, if I do say so myself.
For putting together mechanical assemblies, I often build specialty tools to go with the jigs. These take various forms -- perhaps a screwdriver with a ground-down blade to fit in a tight spot; or a drill bit with the end ground flat, so it's more like a mill; or a piece of music wire (a guitar string, actually) bent into an odd shape to help fish some cable through a tight spot.
I've brazed up special socket wrench fittings for car wheel assemblies. I've used them only a few times, but it was well worth the effort. And I've made special Allen keys for various jobs.
Or how about a bottle washer/sprayer made from pipe fittings to help rinse out the ketchup bottles before recycling? It fits on to the sprayer on the kitchen sink, and it shoots the water in with plenty of room for it to run back out.
And that bit of plumbing reminds me -- you can build no small amount of fixturing from rigid PVC pipe (the white stuff). Your favorite hardware store carries not only elbows, couplings, and tees, but probably 3D-tees.
One of my favorites is this test board that looks more like a dog's dinner (as my coworker Max Maxfield likes to describe things -- or possibly my blogs).
This again relates to some guitar circuitry I was assembling. Again, it's not pretty, but it's quite functional. What kind of fixturing do you build yourself to make your work easier?