DEET is generally recognised as the most effective insect repellent. It's ideal for use in a concentrated form in serious, disease infested areas, but it can also be used on a regular basis at a lower concentration in less challenging environments.
Icaridin was developed as an alternative to DEET that is pleasant to use - it's odourless, with a light, clean feel. IR3535 is another alternative that can be used in low risk areas, but DEET is still recommended where disease is a serious risk.
DEET is all very well, but sometimes it's nice to be able to use a more natural alternative. Some of them like Citriodiol can be quite effective as an insect repellent for every day use and there are several others that may also be worth a try.
Long sleeved shirts and trousers are great for keeping insects at bay, and even better still when combined with wrist and ankle bands to protect any exposed skin - perfect for evening use when there could be lots of bitey things hopping around your feet.
Most people quickly see the need for insect repellents when they're out and about - but you often need them when you're inside as well. Plug-in insect repellers can do the job very effectively, but if you're in a high risk area you should consider using a mosquito net as well at night time.
Citronella has been used in candles for many years and whilst it should never be relied on in high risk areas it can be quite helpful in some situations. Some of the candles can be used both inside and out and Mosquito Coils and Incense can also be used in a similar way.
People sometimes worry about using some of the more potent insect repellents for children but there are milder products available that strike a good balance between the level of protection and concern about what you're applying.