Temperature control

I could just be missing something, but how the heck do you guys control your temperatures? I have a very hard time keeping things within a 20-degree range, much less down to a range of 1 or 2 degrees. So far, everything seems to have turned out okay (been doing extracts w/ steeped specialty grains without a thermometer or specific gravity measurements ), but I'd like to move on to all-grain brewing and realized that temp control might be rather important.

If you are mashing in a cooler it is actually easier to control the temps IMO. It can take a bit of messing around with jugs of hot and cold water before you commit the grain, but it's not a real problem.