I learned to crochet first. My mom taught me. When crocheting I held the yarn in my left hand. So, when I picked up the knitting needles for the first time, it felt more natural for me to do it that way. Now in English style knitting, the yarn is traditionally held in the right hand. In Continental style knitting, the yarn is controlled by the left hand. When I do my Combination style knitting, left is the way to go.
Now that we've figured out which hand to hold the yarn in, how do you hold and control it with that hand? Now most people (unless you're Annie Modesitt) don't just let the yarn hang down, they need to hold it to control the tension of the yarn in the stitches.
I became curious about this subject recently. I was watching a show (can't remember which one) on tv and this one lady was doing a demonstration of how to knit. She showed both English and Continental styles. I didn't pay as much attention to those as how she held the yarn. It was different than the way I do it. I was fascinated. I tried it on the project that I was working on and discovered that the tension on my project was completely different. I went back to my way, but I now I watch others for their methods.
Here is how I hold my yarn:
Image 1 - From the Top
Image 2 - From the Palm
Video - How I load up my yarn on my hand:
I haven't seen or found many people discussing this subject online. I have seen it in published books, but most online articles that I've found just explain the different styles of knitting and avoid how to hold the working yarn.
Here are a few links I've found to some of the different ways to hold your yarn and needles. I'm sure there are many more out there, I just haven't found them.
The Scottish Gypsy
How Stuff Works
I would love to know how you hold your yarn!