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Dowel pins inhale not quite so audibly. I would put them one step above set screws on my list of "good ways to attach stuff", making them second worst.
Welding would probably be my #1, but you had better be sure you have your ducks in a row before you start, or you'll end up making some wonderful modern art, which isn't so wonderful when you are trying to build a robot.
Trantorques are nice, but if one slips, you might be headed for a world of hurt. The times I've seen them slip, they were being used in a place where the forces were too much for them to handle, and it was back to the drawing board.
When attaching a wheel to a gear or sprocket, I always prefer the method Clark brought up, holes around the perimeter. It's a very solid method, and I've never had a failure there.
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