Most of the time, we prefer to toast our spices on the stove top. Put your spices in a small skillet over medium-low heat, and shake the pan occasionally to prevent burning. The spices are toasted when you can smell their aroma. Transfer them immediately to a spice grinder or mortar for grinding.
When working with multiple spices, it's usually ok to toast them all together in the same pan as long as they're all being added to the dish at the same time. If the size of the spices are significantly different, then you can toast them in separate batches.
You can also toast spices under the broiler, as we did when we made Vietnamese Rice Noodle Pho. This is a good way for extracting flavors from larger spices like star anise, but it's harder to control for smaller spices like cumin.
We should also note that the spices we're talking about here are generally whole seeds or dried berries - not dried herbs or powdered spices. Whole seeds and dried berries retain more of their aromas and essential oils, which deteriorate quickly once the spices are ground.
Give this a try next time you make a curry or a spice rub for a roast, and see if you notice the difference!