A long time ago, Earth was ruled by dinosaurs. Then they died and we began to play with Motorola HC11.
These were prehistoric times, when debugging involved anoscilloscope. (Yes, I am that old.)

Then Massimo Banzi invented a new single board: Arduino.
And everyone was happy. At last, prototyping was easy, cheap, and fast.

Then the unexpected happened: David Braben invented the Raspberry Pi. Everyone became happier. Prototyping became easier, cheaper, and faster.

The story does not end here: now we have CubieBoard, Gooseberry, APC Rock, OLinuXino, Hackberry A10, et caetera.

Each one of them is different. Here is how:

If you want to play it safe, you should probably go with an Arduino or a Raspberry Pi.
If you are more audacious, it will depend on your need.
I like the CubieBoard a lot, even if its GPIO pins are 2mm (really painful…) instead of the usual 2.54mm (1/10 inch).
The A10 OlinuXino seems to be very promising.