The not that John posted is the most common. It requires a heavy (like 20 or 30 lb mono) in about a 6" to 8" piece. Several even use Amnesia for this. This will be your BUTT section. Use the know jclampworks88 posted to attach it to the fly line.. There is also a NEEDLE KNOT. That one you use a sewing machine need (one with the hole at the point). Push the need down the center/core of the line about 1/4" to 1/2" and then out the side pf the line. Threaded the leader and pull it back. Pull leader through till about 4" from end.
Now you can use the clinch knot, or scuff the end up, add some ZAP-A-GAP (water proof super glue, not all super glue is waterproof). The continue to pull the leader till it stops (slowly). Clip end flush, and seal hole with a small dab of Zap.
Finale way, and this is what I use. Cut the end of you line at an angle. Now fold it over creating a small loop. Now cover with thread, and coat. I coat it with Pliobond or LOONS KNOT SENSE.
Here is what it looks like:
As far as a loop in the end of the LEADER....PERFECTION LOOP. It lays nice and straight unlike a Surgeon's loop which will kick to one side.
Check this out:
Perfection Loop - Google Video