Fix a piece of fine gauge wire, head-pin or eye-pin between a pair of round nose pliers. Make sure the end of the wire is flush to the top of the pliers and isn't sticking over the top.
Hold the long end of the wire in one hand (i'm right handed so use my left) and chain nose pliers in the other, twist the wire away from you around the pliers. Once your wrist has gone as far as it can go, re-insert your pliers and twist the wire again, completing the loop.
The loop will be looking a little lopsided at this point. Place the tip of you round nose pliers at the point where the end of the wire (the looped end) meets the main wire, grip tightly and gently push the loop in the opposite direction. This will give you a nice straight loop.