Spiders use a variety of mechanisms to catch their prey. The mechanism used depends on the environment as well as the characteristics of their prey (e.g. whether they crawl, fly, etc.).
The most common method, of course, is to weave a web and come back to find something trapped. There are many other interesting ways I learnt through my kid in preschool.
A bolas spider catches its prey with a lasso. The video at http://www.youtube.com/watch?v=2UfMJJAzvbI captures it in action.
A net casting spider catches its prey by casting a net. The video at http://www.youtube.com/watch?v=_peM31m5HFA captures one such spider in action.
A trap door spider catches its prey by hiding in a trap door and grabbing an insect that crawls close. See the video at http://www.youtube.com/watch?v=ySXCdcnKBgg for a trap door in action.
More types of spiders and their amazing ways of finding their meal is at http://en.wikipedia.org/wiki/Spider#Methods_of_capturing_prey.