This strategy no longer applies to the latest version of Diablo II. It remains here for archival use only.
Expand Your Horizons...or at least, your inventory space.
One of the most common complaints anyone's ever going to hear from a Diablo II player is "The stash is too small!" I'm sure you've all experienced it, discovering that you just don't have enough space to hold on to everything you want to. There's the matter of huge 8-slot items, and that tiny stash. Not only that, but all those little gems add up, as do all of the resist jewels you probably want to switch. And then there are things like mana pots for sorceresses and necromancers, and alternate gear if necessary for any of the slots....
So how do you hold just that tiny little bit more when you're leaving the game? Most of these are only stop-gap measures until you can transfer the items out to another character, or a storage character, but they certainly work if you have a lot of things to move.
#1: Use the Horadric Cube. It takes up 4 slots in your inventory and holds 12. Fill it up completely. An easy way to do this is to pick an item up into your cursor, then click on the Cube. The item will be moved into the Cube without you having to open the Cube and move the item over. Large items (4x2) will probably still need the Cube to be opened, but if you're just storing gems and jewels in the Cube, it doesn't take too long.
#2: For those spellcasters that would like to hold on to those unbuyable mana potions, or for any class that doesn't want to see a full rejuv just evaporate as they leave the game: wear a plated belt or exceptional belt. If you're wearing one already, great. If you aren't, it's worth it to pick one up and replace your standard belt with it before you leave a game. You can stuff between 4 and 8 more potions in at the cost of 2 slots in your inventory.
#3: Wear whatever takes up the most space. Sure, your standard Necromancer setup might be a Grim Wand and a Tower Shield - but if you are planning on carrying that nice War Axe and Gothic Shield to the next game or to your storage character, it's better to wear 14 slots of items instead of 8.
#4: Drop easily buyable items. For example, why hold on to keys? They're inexpensive and they take up a spot you might want to use for a jewel or gem. Arrows likewise. Similarly, you can pick up Tomes of Identify and Town Portal anywhere - you have no real need to hold them from game to game.
#5: When your entire inventory and stash are absolutely packed with all the best things you can get, to hold one last item, open your inventory screen, then pick an item up into the cursor. Then save and exit. When you create or join a new game, your cursor will still be holding the item. Always make sure the item you're holding is the biggest one you have, since the cursor holds one item regardless of size. Not recommended in public games, since this method also presupposes that you have a nice floor to drop the item on, and that there aren't some not-so-nice people who'll pick it up off that floor as soon as you drop it. Since clicking just about anywhere will cause you to drop the item, you're essentially immobilized. This is the point at which you'll probably have to consider item transfer to a storage character en masse.
#6: The last resort for the desperate: admittedly cheesy but a way to store more. As the first step, drop all your gold on the ground (even the gold in your stash). Equip yourself as efficiently as possible, according to the tips outlined above. Then merrily troop off to the dungeon. Die. When you re-appear in town, re-equip yourself with as many items as you can hold, stuff your stash and inventory, pick up your gold. Then save and exit. Your corpse, carrying your items, will follow you from game to game, a sort of second stash. There is, however, the issue of assorted painful death penalties in Nightmare and Hell difficulty games, so use this method wisely when playing in those difficulties. If the item really isn't worth losing experience for, then don't bother, since it'll just waste your time getting the points back. But if the item, and all the other items, are really, really good and you can't stand to lose any of them, go for it - experience can always be earned back (while time consuming) while a really good quality item probably can't. If your character is higher than level 87 or so, I would strongly advise you not to use this method at all, since earning experience back with such a high level character would take much longer due to the reduced experience gains at those levels.
Following these simple guidelines will help you eliminate space wastage in your inventory. It's not the same as having a Guild Hall, but it'll help between now and the time when (if) Blizzard decides to put them in.