Finger knitting is fun, easy, and can be done anywhere without the need for fancy expensive tools. You can't make big things like sweaters, or complicated things like socks, but you can make headbands, bracelets, even scarves.
Step 1: Starting
First tie the end of the yarn to your thumb and wind the yarn around your fingers. you can use as many of your fingers as you'd like. The more fingers, the thicker the finished product. Wind the yarn at least twice, more if you'd like the stitches tighter.
Step 2: Lengthening.
Pull the bottom loop on your pinky (or whatever finger is last) over the tip of you finger, repeat with other fingers. Then repeat steps 1 and 2 until it's as long as you'd like.
Step 3: Finishing
Pull the loop on the last finger onto the finger next to it and pull the loop from the 2nd to last finger over the loop from the last finger. Repeat until you have 1 loop left. Snip yarn and put the end through the last loop. Pull tight and you are done. :)