First, don't over-estimate the strength of your glue. You can use glue to solidify connections, but I don't recommend depending on it to actually hold things in place in any sort of load-bearing connection. Bent wire threaded through holes or wrapped around things works better than Superglue (cyanoacrylate) any day, with the added advantage that you can easily take things apart again if you make a mistake. When putting the joint together, try to make all of the pieces interlock in such a way that the forces on the connection *can't* make it come apart without breaking one of the pieces. Think about all the different ways two pieces might rotate or slide with respect to each other, and make sure you've accounted for all of them. Of course this is good advice for building structures in general, not just joints.
Second, any amount of obvious "play" in the joint is unacceptable. If it's a hinge joint, one piece should fit inside the other snugly enough that you can only rotate it, not wiggle it side to side. If the amount of wiggling is small, it may not seem like a big deal at first ... but it is. Small motions at a joint are multiplied as you move along the length of a leg segment. Compound the effect of multiple joints, and what you end up with could be more reminiscent of a tottering pile of sticks than a robot.
As a corollary to the above, the materials from which you make your joint must be rigid enough that they don't sag under load (one reason why I like metal tubing so much for this application).
Third, don't head to the opposite extreme and make the joint too snug. When preparing your pieces, make sure to sand off any little burrs that might catch as the joint moves. If the outer part of your joint is made of tubing and you attach to it with something that wraps around it (e.g. wire, which is what I used), don't make that wrapping so tight that it pinches the outer tube against the inner one. High-friction joints make cheap little motors cry, and we don't want that.
My latest hinge joints consist of an inner aluminum tube and an outer tube made from a ballpoint pen shaft. Both the inner and outer tube need to be solidly connected to the paper clip wires that join them to the "leg bones" on either side of the joint. For the outer shafts, I use pens made from a very soft plastic, so I can poke holes through the surface of the tube with a pin, creating little tunnels on the outside of the tube through which I can thread 24-gauge beading wire. I wrap this wire around the paper clip wire to hold it in place, so it can neither slide horizontally along the outer tube, nor slip around it rotationally. (A little glue will firm things up, but remember, you can't depend on it!)
Connecting to the inner tube was easier: I just bored holes through its two ends where they emerge from the outer tube. Turns out that the easiest way to do this when you don't have a drill press is to grind out the holes with the sharp point of something made from a hard metal (like the tip of a pair of wire cutters). A rotary tool equipped with a diamond-coated bit can be used if you want to enlarge the hole, but doesn't work very well to start it; without a pilot hole, the bit will just want to bounce off the material.
The wire that goes through the holes in the inner tube also pierces through two more pieces of plastic pen. These form a collar on either side of the rotating outer tube and keep it from sliding side to side.
The other ends of the wires attach to pieces of plastic that can be drilled and screwed to the leg bones. I used the rim of a jar lid (after sanding off the threads on the inside) because its slight curve will help it fit to the legs better.
Until the next cycle,