Keeping GUIs responsive during long-running tasks

Keeping the GUI responsive while the application does some CPU-heavy processing is one of the challenges of effective GUI programming.

Here's a good discussion of how to do this in wxPython. To summarize, there are 3 ways:

1. Use threads
2. Use wxYield
3. Chunk the work and do it in the IDLE event handler

Which method have you found to be the most effective ? Techniques from other frameworks (like Qt, GTK or Windows API) are also welcome.