When I ask experienced trout fisherman what their goto knot is for very small flies, more often than not, the answer is the Davy Knot. The Davy Knot, made famous by Davy Wotton, is a type of figure 8 knot. As previously mentioned, it is great for very small flies. The tiny size of this knot makes it perfect on bright days, in still water where visibility is good, or whenever trout are being extremely selective. The Davy Knot is so fast to tie, it is extremely popular with tournament anglers fishing under a time limit.
For more information on Davy himself, who is a Welshman relocated to Flippin, Arkansas, check out his website.