One of the most frequent things I recommend as a massage therapist is foam rolling. Foam rollers are cylindrical pieces of hard foam that people can use to perform self-massage; most frequently they're used to self-massage the back, legs, and hips, but especially dexterous folks can use them on the chest and shoulders. Of course individual results may vary, but foam rolling is generally painful as hell on the iliotibial bands, the swaths of connective tissue that run down the sides of the thighs. That's because the IT bands are generally tight as hell, and need to be released. These nasty dudes love to screw up everything from the low back, the hips, the hamstrings and quads, and the knees.
How do? Here's a good Youtube instructional video on how to foam roll the IT bands. One thing that it leaves out that I would personally advise is to warm up beforehand. That can mean foam rolling after you work out or after you take a warm shower; whatever you can do to make your body physically warm before you try to foam roll. That'll make it less tight, easier to release, and less painful.
Another place that is great to foam roll is the back, particularly the erector spinae group that run on either side of the spine. Here's a decent video that demonstrates this technique, though I would add that when rolling on the thoracic spine it's especially helpful to bring your arms in front of you. That really helps to get into those upper back muscles between your shoulderblades.
Remember, warm up beforehand, and if it hurts then you're probably doing it right! Foam rolling sucks! But it's super-helpful! Ugh!