Connect to Shaft of Stepper Motor

How to you connect something to the shaft of a stepper motor? (Or I guess any other motor shaft). And when ordering a stepper, how do you know if it's a smooth round shaft or one that has gear teeth in it?
E.g. look at Jameco Electronics - Learn About Us - Corporate Overview The first stepper has teeth, but the others don't. To make it more confusing, if you look at the datasheet for that 1st one, it's for no teeth.

Thanks.

To be clear - I'm not talking about how to hook up a stepper's wires or interface it with an Arduino. I've done that, and shouted with glee as I watched it spin, and reverse spin, as desired. But I want a second stepper, and I want to be able to hook it up to something.

I think you have three options:

The cog wheel system, where the stepper has a small cog wheel (like one of those you mention) , and you have a matching cog wheel on "something"

The other option is to have one of those little wheels with a groove in it and use a rubber drive belt to drive what ever you have.

There are also drive belts with "teeth" that matches a special cog wheel on the motor, these are frequently used in small printers. So if you can find some discarded printers or scanners you can find lot's of usefull stuff.

The third option is to use a thing for coupling two aksels together, i forgot what they are called ,but many of the hobby robotics sites have them for different diameter aksels.

Thanks!