The cradle hold
This is the most basic position, and the one you'll probably use the most. To put your baby to your right breast, nestle her in your right arm so that her neck rests in the crook of your elbow, her body is along your forearm, and her bottom is in your hand. Turn your baby to her side, so she is facing you, tummy to tummy. Raise baby to the level of your breasts, using a pillow on your lap or by raising your legs with a footstool, if necessary. With your left hand support your breast, fingers underneath the breast and your thumb on top, away from the areola.
The cross cradle
This is a good position if you have a small baby, or if he's having trouble latching on. It's similar to the cradle hold, except you position baby on the arm opposite of the breast being used, making it easier to control baby's head and guide his mouth to your breast. Or, put your baby to your left breast, hold your baby with your right arm, and support your breast with your left hand.
The football hold
Here's another position to try if you're having trouble getting her to latch on correctly. This is also a popular hold for women who've had a c-section, because it prevents baby's weight from resting on the mother's abdomen. Sitting up, position your baby so she's perpendicular to your body, on the same side as the breast, tucked in under your arm like a football (hence the name). Support your baby's head with your fingers, her back with your forearm. Your arm should be resting comfortably on a pillow. Her legs should be tucked between your elbow and your body.
If you can figure out how to do this, you might be able to get some sleep during middle-of-the-night-feedings. Position your baby so that you're lying down facing each other. Your baby's mouth should be directly in front of your breast. Place the rest of his head on the bed or on your arm, whichever works best. Baby's body should be straight and parallel to yours.