This page describes a very simple circuit that lets you control a standard RC servo in one of two positions using the standard LEGO Mindstorms software. If you only want to move the servo and not hold it in one position, then you can actually control two servos from one RCX output by simply removing components from the circuit below. Finally, if you want really fine control of the servo position, then you'll want to get the new pbForth distribution. The big trick here is finding servos that work within LEGO geometry.
Micro servos are generally weaker, more expensive, and very delicate.
I stripped two gearsets myself before giving up on these miniature marvels. The best all-round servo that I have found is the S200 from FMA Direct . It jsut happens to fit into the space of a 4x4x2 brick, not including the ears. Combined with the circuit below, the servo is an easy way to control pneumatics effectively. It can also be used for precise steering, directional beacons, and any other application where the control signal specifies a position, not just direction.