I'm currently obsessed with curling my hair. This is mostly for two reasons: a) I think it looks pretty, and b) because it's easy - easier than blow drying my hair and easier than worrying about how scruffy I look all the time when I don't blow dry my hair.
It's not a perfect system, the top looks a little flat and the curls are more crazy and all over the place than they would be if you actually styled them - but I don't know, I like a more natural look than a put together one (because lets face it, no amount of perfect hair is going to make me look "put together").
It's done by wrapping your hair around a hair band and sleeping in it. Rather than explaining the process, I found this tutorial that covers it pretty well. The only thing I do differently is use two hair bands, one for the top layer of my hair and one for the bottom layer - there's just too much hair there to use one band.
Hooray for pretty and easy hair!