If you were to diversify your portfolio by exposing it to the non-US equity markets, how would you do it? Would you use ETFs? Mutual funds? Individual stocks?

I would probably invest in currencies. Mutual funds and ETFs are also a good idea but there's so much liquidity in the fx market that if you know what you're doing you stand to make a great deal of money. I do invest in ADRs, however, and these ADRs coupled with their domestic counterparts provide an excellent arbitrage opportunity.