Are there any practical methods of steganography?
The International Journal of Soft Computing and Engineering has published many articles on the subject.

If you want to move away from simple bit-twiddling in lossless images, take a look at spread-spectrum techniques for images and audio files.

There are plenty of tools available for hiding data in compressed images and audio (e.g., Steghide, JPHide and Outguess). However, it is often possible to detect when they have been used (e.g., using neural networks).