Here's a couple tricks to keep in mind when tuning your guitar. I suppose they could apply to other string instruments as well:

1 - Always tune from a pitch that is flat up to the correct pitch, never tune from a sharp pitch. If you tune from a sharp pitch, the gears and whatnot will slip as you play, and your guitar will go flat after a few minutes of playing.

2 - Avoid putting pressure on the neck while you are tuning. Pressure on the neck will affect the tension on the strings, and therefore affect the tuning.

3 - If you are using an electronic tuner, and you are not registering the not cleanly (there is a lot of jumping of the needle or meter), rest your fingers lightly on the other strings to keep them from vibrating.

4 - When pressing the strings down on the fret board, make sure you are not inadvertently bending the strings.

5 - If you are using an electronic tuner, keep plucking the string. Once per second is good. Don't try to tune to a note that was plucked several seconds ago.