A really great illustration of the various types of knots can be found at Nekclothitania along with instructions. Here is a picture I found on Wikimedia Commons showing the most popular knots for a Regency gentleman's cravat.
Each type of knot had a name; for example, the Mathematical, the Waterfall, the Oriental, etc. I have read that the Waterfall, also called the Mail Coach, consisted of taking a very starched tie, wrapping it around the neck and lowering the chin so the creases fell into a uniform pattern, and tucking the ends into the waistcoat. Supposedly Beau Brommell, (pictured below) accredited with making cravat knots an art form, preferred this type of type because it catered to his fussiness--apparently this style was so difficult to achieve that he went through dozens of ties until he got exactly the right look. Talk about a dandy, right?
Some knots require the waistcoat (which looks like a vest) to be off, while others clearly must be left outside the waistcoat in order to achieve the right look. It also depended on the waistcoat. Some had high, attached collars which would pretty much require the cravat be tied first and tucked inside.
Most cravats were white, but some called for colors, and some informal gentleman's clubs also called for a certain color or cravat to distinguish them as members.
For those of you looking for something more modern, there is a great tutorial on how to tie a Windsor Knot on You Tube here
For once, I'm glad as a woman, I will probably never have to tie something this complicated :-)