What are the best ways to get the most out of vegetables?

I mean which ways to prepare them so that you keep most of the vitamins and good stuff in them? Mostly what I eat are green vegetables like celery, asparagus, spinach, green peppers. I also love mushrooms and tomatoes.
But I never really know how to prepare them in ways which retain all the good stuff in them. I heard that boiling veggies kills a lot of the good things in them, but how true is this? What are the best methods, and what are the worst?

I eat a lot of them raw, (solves my dilemma, plus I love most vegetables raw) after cleaning them of course. And what about pickled vegetables like pickles or pickled asparagus and pickled banana peppers? How healthy are those?