While knitting my shawl, I decided to try the oft referred to method of joining balls that amounts to spitting on your project. I've come across the method in several sources - Stitch 'n' Bitch Nation being one of them.
Basically, it goes like this: When you come to to the end of a ball, fray the ends of the old and the new balls. Lick them and twist them together. Then rub them fast between your palms for a while. The wool (it only works with wool), felts and the strands are knotlessly joined.
Whaddya know? It actually works.