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Emporium

Here's how I do referencing in LaTeX:

Set up

1. If you're using something like MiKTeX, the BibLaTeX package should be downloaded for you when you first use it. If not, you'll need to install it yourself. There's a biblatex package for Ubuntu, if you're using that.
2. In my document's preamble, I include the BibLaTeX package, with some nice options for traditional style "ibidem" references:
   \usepackage[style=verbose-trad2,natbib=true]{biblatex}
3. I don't like my endnotes being called "References" or the like, and I don't like the section being numbered, so I make sure I set the heading text in the preamble:
   \defbibheading{bibliography}{\section*{Bibliography}}
4. I use the open-source JabRef reference manager to produce a .bib file. Most of the time, I call it "main.bib" and include it like this (again, in the preamble):
   \bibliography{main}

Footnotes

1. Footnotes are done with \autocite[prenote][page]{bibtex key}:
   \autocite{Popper1963}
\autocite[163]{Popper1963}
\autocite[Related to][163]{Popper1963}
   It doesn't seem to matter which side of the punctuation you put your \autocite.
2. Footnotes will then automatically appear at the bottom of the page.

Bibliography

1. I like my bibliography on a seperate page at the end. I include it like this:
   \pagebreak
\printbibliography
2. By default, the bibliography includes all the references you've already cited using other commands, like \autocite. But I often have a number of books that I want in the bibliography, but don't want to use as a footnote somewhere. So, I make sure my entire bibliography of references is included by citing them all with \nocite, which doesn't print anything:
   \nocite{Chalmers1999,Chalmers1990,Popper1982,Popper1963,Hempel1945,Schick1999}
   That line can go anywhere in the document.

Building it all

1. First, build your document with LaTeX once. LaTeX should warn you about empty biblography files.
2. Then, run BibTeX (note: BibTeX != BibLaTeX) on the .aux file LaTeX should have generated. This will usually generate a few further files (.bbl, .blg, -blx.bib).
3. Then build your document with LaTeX twice. LaTeX should warn you when it needs to be run again.
4. After that third run, you should have a clean build, and a beautiful bibliography.
5. If you add extra references, you might need to repeat this process by deleting all the extra files (.aux, .bbl, .blg, -blx.bib) and doing a clean build. I've also found this necessary when doing some weird stuff in my IDE (TeXlipse).

CTAN has more information about the BibLaTeX package, along with the nicely formatted documentation. If you use Lyx, there's some BibLaTex help.