The first step to controlling weeds is to relax about them. If they're not harming your plants, then they may not need to be controlled. I find this especially true in my grass. If it grows, I pretty much leave in alone. As long as it doesn't mind being mowed down or run down by little feet occasionally, it stays in the yard.
Some weeds actually act as traps for pests.
You can then pull up the weeds and eliminate your pests simultaneously. Or if your yard has a supply of predatory insects around, keeping the weed around will allow a constant food supply for the predators. Then if your desirable plants are attacked, the necessary predators can quickly move in and eat the bad guys. Areas of tall weeds can also act as a haven for snakes, toads, frogs and predatory insects. Small weed flowers can feed adult beneficial insects.