Using curve, extrude, bridge/Fill faces
Bridge
Select two or more edge loops with AltShiftRMB, and then connect them with W>Bridge:
Fill
To connect two vertices with an edge, select the two vertices and press F to create edge/face.
If you have the bundled add on enabled you can create a new face from the selected edge and the surrounding vertices by pressing F again. The side on which the new face is created is controlled by the cursor position.