The best way of sharpening a knife is with a whetstone. There are other methods and devices available for knife sharpening, but most of them tend to grind away too much of your knife's blade.
Learning the right way to use a whetstone may take a bit of practice, but once you get the hang of it, you'll be able to keep knives razor sharp while saving time and money.
As counterintuitive as it sounds, sharp knives are actually safer to use than dull ones.
Dull knives force you to apply more pressure to achieve the cut you want, and pressing down harder can cause the knife to slip. So not only do you cut yourself, but you cut yourself worse because you were applying more force to the knife.
To begin, get yourself a two-sided whetstone, with a coarse grit on one side and a fine grit on the other. Different knives require the edge of the knife to be applied to the stone at a different angle, depending on the manufacturing specs. In general, it's somewhere around 22 degrees.
To visualize this, picture 90 degrees, which is straight up and down. Then imagine half of that, which is 45 degrees. And then another half of that is 22 1/2 degrees. Don't worry about the half degree. But do consult the technical info that came with your knife, or check with the manufacturer to verify the correct angle you should be using.
While there is such a thing as a "waterstone," which is designed to work under running water, a whetstone needs to be kept dry.
Don't let the name confuse you. Using oil or water on a whetstone traps tiny metal particles in the liquid, which in turn produce a more ragged edge than when using a dry stone.
The difference between a waterstone and a whetstone? A waterstone is a natural stone, often Japanese owing to geological features unique to that part of the planet.
Wetting it causes it to dissolve, producing a gritty mud that helps grind away steel.
A whetstone is a different kind of stone, sometimes natural, sometimes synthetic. Some whetstones are OK to wet, others not. For instance, soaking a synthetic whetstone can significantly shorten its lifespan. Again, consult the instructions provided by your stone's manufacturer before doing anything you're not certain about.