As well as using good products, to get volume in the hair, a lot of it is about the techniques you use to aid volume. Apply a good mousse at the root (Paul Mitchell Thicken up is good) and blow dry the hair upside down, this will help give your hair a bit of lift. Use rollers, velcro or heated rollers to get some body in the hair.
One of the most important part of the cleansing and styling of the hair is the shampoo, if you use the wrong shampoo or a shampoo that is too harsh you're just going to end up with a poor result ie. frizzy, dry hair, or hair that you just can't style. What I find with some volumizing shampoos is that a lot of them tend to strip the hair, because essentially it is designed to create a very clean canvas for the hair so that it can help give you the lift and volume that you need. A decent shampoo that doesn't seem to completely strip the hair is Toni and Guy Volume Explosion.