Here's some of the methods i used:
1. Dedicated proto boards[1, 2]: expensive, and the ones with plated through holes aren't very prototype friendly, since desoldering becomes a pain. On the other hand rugged. I like the ones where power tracks go under ICs so power connections can be made by just bending a pin. For me it's better to have a bigger board and cut out chunks that are the right size for your project using metal cutting scissors.
2. Cutting slots in FR4 laminated stock[3]. Its the method i go to for simple stuff where i can plan out the cuts in advance. I do it the way RoGeorge described with a sharp "tooth" and a utility knife. This method is smd compatible.
3. Building above a FR4 ground plane[4, 5]: this works better for more complex stuff where i can build it block by block, debugging along the way. I put ICs up in the air by connecting them with a thick ground wire, use capacitors or resistors to ground as spacers. Looks flimsy, but the project i shown fell from my table about 5 times and it still worked (survivorship bias
).
4. Board with pins [6]: not as nice as the other methods but works. The one i have is plastic, but i seen some made out of FR4.
5. Board with pre cut slots [7]: better than the pins board, definitely usable. Maybe if there were power planes below and they came out at designated spots it would be nice. Also may be smd compatible.