I'll echo what others have said about using the brakes, was quite common to fit independant handbrakes on VW Beetles for rallying. Could also do the same thing with line lockers on your normal brakes...
Below is a technique that you may not beleive will work, and it only works in some circumstances:
If you've got a proper manual 4wd, drop it in low range and start the motor in gear. The starter will spin, and move the vehicle, but hasnt got the torque to get one wheel spinning and in some circumstances it will get you moving just enough...
A good example was in some soft sand last week, driving up a steep section the vehicle (105 Landcruiser 1HZ) bogged down, with a front and back wheel spinnging with no lockers. Attempted to reverse, but the wheels still spun, used a low range keystart and it moved it just enough to reverse out once the motor caught.
The technique will not work if you've planted your foot and dug the car in.