Torrenting is almost always the most efficient way of going about things, but sometimes I find an anime I want to watch is so obscure or unloved that it's really hard to find a decent torrent for it.
One trick that I use in situations like those is to check and see if anyone has uploaded a copy to Youtube. In a surprising number of cases, it's available, sometimes even uploaded by the copyright holder.
If you do get lucky and find what you're looking for, the best thing to do is to download the video so you know you always have a good copy. There's plenty of software out there designed specifically for this. I've tried a lot of programs and most of them worked at least decently, but by far the best has been Youtube DL. It's the fastest, the easiest to use, and it's both free and ad free.
Also, this is actually hardware, not software, but I enjoy copying my anime to my PS3. If you have one lying around it's a really easy way to watch anime on a TV instead of a monitor, with the downside that it can only play .mp4 files.