Take 3/8" copper tube (for 4ga wire), cut a little piece off, strip the wire the same length as the piece, feed the cable in, pound the bugger flat with a hammer, and then drill a hole. Makes for super strong ends.
I'm sure this is no secret to anyone, but I just learned it. I redid the main grounds on my dodge, and ran a new wire to the starter, and didn't want to pay for the copper lugs (since I find most of them too flimsy). I'm fussy when it comes to automotive electrical work ;).