Hop bags are by far the easiest and cheapest ways to dry hop a keg. You can simply bag up the hops and throw them in your keg or a slightly better way is to tie them to the lid with a small lead. Sample the keg regularly (easily done) and once you are happy with the hop level, have a couple of pints (even more easily done!) and drop the liquid below the hop bag and then your beer is no longer in contact with the hops. By doing this you can avoid the horrible grassy taste that develops when the hops have been in contact with the beer for too long.
Another cool little toy is a hop bomb. These are stainless and look just like a tea ball.
One very important consideration to keep in mind is expansion, don't fill the bombs or the bags too much as your hops will expand and after carefully adding them the last thing you would want is for loose hops to be flying all around your beer and in your glass!
Occasionally I like to dry hop with flowers (so much more appealing than pallets) but you can't really put these in a bag or a hop bomb. When dry hopping with flowers I place a clamped bazooka screen over the dip tube. This allows for a large surface area and compensates for the large volume of flowers in comparison to pallets. A tiny amount of hop particles make it though but generally only for the first couple of pints. In addition to the bazooka screen you could also place a hop bag to act as a secondary filter...pedantic but that's what we home brewers love!