Friction welding is the process by which two pieces of metal are fused together by rotating one of them at high speed, then pressing the two together. Take a look:
One advantage of friction welding is that you needn't clean the pieces before bonding them; the friction cleans the materials as they grind together, and centrifugal force migrates any dirt to the outside.
Another advantage is that it can be used to join dissimilar materials--say, lightweight aluminum and high-strength steel, like you might see in an aerospace application--which have different melting points that would make them impossible to join by conventional welding methods.
A third advantage is you can weld extremely thick-walled parts together. Imagine trying to get the heat from a blowtorch to penetrate down into something several inches thick; it just ain't happening. But with friction welding, wherever the two pieces are coming into contact will be joined. And as you can see in this vid, there are machines that can cut the bulk of the flash off, and the joint can then be machined down to a continuous tolerance.
"Okay," you might say, "that's all fine and good for connecting cylindrical parts--but what about those of us that aren't designing truck axles?" Well, package designers are already familiar with friction welding, albeit with different materials (plastic) and a different impetus for creating heat (sound waves). That's right, the ultrasonic welds you see on toothpaste tubes and clamshell packaging are just a different form of friction welding:
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http://en.wikipedia.org/wiki/Friction_stir_welding