DS is 2.9. Really depends on the situation. I don't use unrelated unspecific punishments though such as removal of toys, time out etc. Toys would of course be removed if they were being used inapproriately (e.g. to hit, pens - drawing on anything which isn't paper, throwing things indoors etc) but DS can have them back if he calms down and agrees verbally to use them correctly. He's never then carried on and done the forbidden thing but if he did then I'd probably take the toy away without the chance to earn it back and just put it back in the toybox or wherever when he'd forgotten about the incident.
In the same vein I don't use time out much but if he's getting destructive or (e.g.) keeps going back to the same thing (and I can't remove the thing) or in a particularly dangerous situation (hanging onto my legs when I'm cooking for example) then I will take him either to the stairs or the sofa and tell him he needs to sit there and calm down. On one occasion he said "I don't WANT to sit on stairs. I want to sit on SOFA!" and I let him do that. I see it more as teaching him a coping mechanism for when he gets really frustrated, than a punishment.
Using please and thank you etc when I talk to him all the time has paid off - he now uses these automatically, though sometimes has to be reminded, especially if he's being shy around someone unfamiliar. Similarly if I get cross and shout and he tells me to stop shouting, I do, and this has translated that when he is shouting I ask him to stop and he really does make an effort to. And talking, about everything, all the time - at the time of the incident and also later on, and trying to take the time to listen to him.
I'm probably quite laid back and let some things go which others wouldn't. I also let him have time to explain things (like, sometimes he wants to turn the TV off before coming upstairs to get dressed, even though he could just leave it on) and do things himself if he can, if possible (which is actually hindering us at the minute as I'll ask him to do something and it will be "just a second" which turns into twenty minutes- mostly this has worked okay though) One thing I do use for speeding up at the moment is turning everything into a race.
I also try to think if there's something he wants to do that I don't want him to (recent one was spitting) to think of a way that he can do that which would be acceptable. So if he goes to throw something we say "No, that is not for throwing. You can go and throw your ball, outside, or you can throw this balloon, inside." The spitting one I said if he wanted to spit, he could do it in the sink only. I had to take him to the bathroom and show him the first time, but after that he got it, then after a couple more times, he got bored of walking all the way there and stopped completely. For the DVD example, I'd say if he wanted to pull them all out that was fine, but he'd need to put them all back again by himself. He does quite often pull all his toys out at once, and he's starting to realise now that to play with them he really needs space, and that means he needs to put the others away. At the moment I help him tidy things away as he's only little, but I don't help unless he's doing some as well, if that makes sense.
I've probably missed out loads but I think that covers the main things I'm doing with DS at the moment.