For me, it depends on the application. Sometimes I have 5V available, so I just route it to the 5V pin and call it a day. Other times I connect a 9V battery clip to the VIN and GND pins and use a 9V battery.
Since I usually want a battery powered Arduino, and 9V batteries are not the best, the most common thing that I do nowadays is to design a board that the Arduino is mounting on, then I include a boosting regulator which converts a Li+ battery to 5V, and I route that to the 5V pin. Typically I will connect the battery to a wireless charger and to the boost regulator, then the output goes to a switch which connects it to the 5V pin on the Arduino.
The boost regulator that I use the most is the RT9361A (Digikey Part# 1028-1521-1-ND). It can use any voltage coming out of a typical lithium battery and convert it to a regulated 5V.