Cornstarch! In his book How to Cook Everything Vegetarian, Mark Bittman recommends mixing 1-2 tablespoons of cornstarch with the same amount of water, and tossing this into the stir fry just when it's almost done. It thickens in seconds, picking up the flavors of everything already in the dish and coating evenly.
Cornstarch is a good choice for this technique because it thickens quickly and evenly without clumping. It also doesn't have much flavor of its own, so it won't interfere with those already present in the dish. Rice starch would be a good substitute if you don't want to use cornstarch.
We've also used this thickening step to add another layer of flavor to our stir fries. Instead of water, you can use soy sauce, ponzu, miso (thinned with water), vinegar, or broth - either by themselves or combined in a mix.
What's your favorite sauce for stir fry?