I mostly use the Spyderco bench stones, medium to ultra fine, followed by stropping with compound or diamond spray.
I used Japanese waterstones for a while, but they get a bit tedious - they need to be flattened constantly and will usually crack if not permanently kept in water.
A good leather strop is easy to make; strip of vegetable tanned leather, stropping compound, adhesive, and a flat piece of wood. The last two are even optional.
The key is using some form of a stropping compound; bare leather such as when people use their belts is far too slow for any practical use.