Glass is the easiest material to remove
stickers from. If the glass is reasonably flat, such as that of a window, I recommend using a
razor scraper to get most of the sticker off.
If there is still some gummy residue left, try using a cloth saturated with rubbing alcohol or fingernail polish remover. This method can work for plastic objects, too, although fingernail polish remover can damage some plastics. It can also remove varnish, paint, or dye, so be careful when you use it, and try alcohol on more delicate surfaces.
A method that can save you a lot of scrubbing is to try to use the adhesive that stayed on the back of the sticker to lift off the gumminess that didn't. This works in the same way that a wad of bubblegum can be used to pick up remnants of itself.
If in the end, nothing seems to work, and having the gummy residue removed is more important than preserving the object itself, you can always scrub at it with sandpaper or a wire brush, or hack at it with a pocketknife.
And the final method: cover the sticky residue with another sticker.
It has been pointed out to me that oily substances such as WD-40 or peanut butter also work wonders. Thank you, Mark Forest and anthropod.