I got an incredibly useful suggestion from an eBook someone sent me. It's similar to
chattiesmom's method.
Go to a park if you can (I did this on the sidewalk and dealt with looking completely crazy).
Your goal is to make your dog realize that he can't make any assumptions about which direction you are going in. So basically, move as unpredictably as you can. Run a couple steps backwards, stop dead, and shuffle off to the right. Spin in circles. Do figure eights. Change your speed. Hop. The weirder you can get, the better.
The book said this is very tiring mentally for the dog, so just do it for ten minutes or so, and then let them go off and play.
The book suggested doing this several times a week, but I just had to do it once! I was getting incredibly frustrated with Thor, because he would insist on running ahead of me, despite the fact that I was completely consistent with stopping or turning around EVERY SINGLE TIME. Now though, I can see him checking to the side to make sure he's in step with me. If he does get a little ahead, I stop, make a little correction noise, and he walks back to my side.
He's not absolutely perfect yet - he ran in front of me to bark at some dogs today - but he's seriously like 99% better. He'll even walk by my side when we're in front of a park.