I prefer to just use a closure - but that just might be because I've used them so long that my brain thinks it looks nicer.
Another nice context-setting trick is to set the context manually when you do ajax requests - then callbacks will have the context of the object you did the request in:
var myobj = {
done: "I'm done.",
load: function(){
$.ajax({
context: this,
success: function(){
alert(this.done);
}
});
}
};