I usually fly or take a boat. A couple of the (very few) land-crossings I made have been interesting experiences.

US <--> Canada
Italy <> Vatican City
UK <> France
Germany <> Czech Republic (Made it past initial border control on train without a visa - Didn't know Canadians needed a visa - and was found out well into the country. Got wordlessly put on a one car train, by 4-5 soldiers gesturing with assault rifles. Spent about 30 minutes all by myself in the "train" until the door opened in front of a tiny station in a little one-horse town in Germany. After a few minutes I realized this must be my stop.)
Germany <> Austria
Netherlands <> Belgium
Switzerland <> France
Croatia <> Slovenia
Croatia <> Serbia (Not too long after Balkans war ended. Road around checkpoint, and checkpoint itself, was blown up. Border guards were heavily armed and still wore Yugoslavian army fatigues. Only lights came from some bare strung lightbulbs. Creepy place.)
Croatia <> Bosnia
France <> Monaco
Lithuania > Latvia
Moldova > Transnistria (There's a heavily-defended border even though no one recognizes Transnistria. The border guards make it a very big deal and hold you up for over an hour. You have to pass through a DMZ guarded by international peacekeepers just to add to make it more interesting)