Efficient way to get multiple analogue voltages out of an Arduino?
The Due is the only Arduino board with a built in DAC.  (Two of them.)  If you need more than two outputs or want to use a board such as the Uno, then you need to consider building a DAC.

Option 1: PWM
Using a RC-filter you can create a low-pass filter that allows you to create true analog voltages from a PWM pin.  This method could be difficult to calibrate or may not work depending on the impedance of the circuit you are driving.

Option 2: R-2R
The most common method is a R-2R ladder, explained here:
http://en.wikipedia.org/wiki/Resistor_ladder

Option 3:  DAC Chip
The most efficient, but most expensive, method would be to use an external DAC chip.  You can pick one that is designed specifically for the voltages you need and potentially find one with multiple outputs.  Regardless, most DAC chips feature a SPI or I2C interface, so you can chain multiple chips to a single Arduino.

The Maxim MAX5214 is an example of a high resolution (14bit) single output DAC, with a SPI interface.
http://www.maximintegrated.com/datasheet/index.mvp/id/7119