When finishing up a plush toy or doll you end up coming to that last seam where the stuffing is sort of puffing out slightly and you don't want to sew it up with an obvious frankenstein-ish stitch. A 'hidden stitch', or the 'ladder stitch' is very helpful at this moment.
Basically you are hiding your stitches inside the fabric, weaving directly from side to side. When the thread is pulled tight it pulls both sides of the fabric together and hides the stitch.
To begin, pull your needle up from under the fabric on one side near the beginning of the open seam. This will help hide your knot under the fabric.
Next you proceed to stitch the fabric from both sides. Make sure to create each stitch directly across from the previous one so that it cinches up tight.
You should end up with a ladder effect.
When you pull the thread tight, it hides your stitches.
Proceed until your seam is closed, then make a knot on the end.
Hope this helps!