The Colorado Department of Wildlife just published this video demonstrating how to tie a No-Slip Mono Loop knot (AKA Non-Slip Mono Loop or Kreh Loop Knot). There are a few different variations of this knot, but all of them have excellent strength and are fairly easy to tie. Hint: The smaller the overhand knot, the smaller the loop.
http://www.youtube.com/watch?v=UdtztUGX7yk