Closing paths as you draw them with the pencil (or paintbrush) tool
Hold down alt
. Make sure you start holding it down after you start drawing (else it turns the pencil tool into the path smoothing tool) and that you've got it held down when you finish drawing the path.
It joins the start point and end point with a straight line, so you'll probably want to get the end point as close as possible to the start point - unless you want a sharp straight line
Closing paths that have already been drawn
In theory, drawing round a path with the Knife tool closes it (never works for me though).
There's a very useful simple script from pitrix.jp to close points. For each selected object, if it's an open path, the script closes it.
It's a very short script, here it is in case that link goes down (all credit, rights etc to Umezawa and http://www.pictrix.jp/).
// ClosePts.js
// http://www.pictrix.jp/ Umezawa
//
if (documents.length > 0 && activeDocument.pathItems.length > 0){
myObj = activeDocument.pathItems;
myNum = activeDocument.pathItems.length;
for ( i = 0; i < myNum; i++ ){
if( myObj[ i ].selected && ! myObj[ i ].closed ){
myObj[ i ].closed = true;
}
}
}