There are a lot of fancy, high-tech prosthetics out there. Some can read electrical signals from the nerves and muscles of the remaining tissue, while others even interface with the brain to read a person's intentions when she, say, wants to reach for a chocolate bar. There are also computerized exoskeletons that can turn a quadriplegic into a soccer player.
Those concepts are super cool, but they're also super futuristic. As in, they probably won't be available to regular people for a few decades. For now, the most common leg prosthetic is essentially a peg leg with a simple cup-shaped socket placed over the stump (or "residual limb," if you want to get technical). Those types of limbs tend to be uncomfortable; they cause chafing and alter the biomechanics of walking in ways that put strain on the back and other body parts.
A group of researchers at University College London has developed what may turn out to be a better idea. In a clinical trial that just wrapped, they implanted 20 amputees with prosthetics that interface directly with the patient's skeleton. Voil?, the chafing disappears, and patients get a lot more tactile feedback than regular prosthetics.