If you've got some dandelions or thistle, and it's not out of control, the nice safe way is to pull them up by hand or, if they're between pavement cracks, pour boiling water on them.
Broadleaf weeds growing in your lawn that aren't easily hand-pulled can be killed with a selective herbicide like 2,4-d. Tough underground vine-style weeds like creeping charlie or wild violet will need a selective called triclopyr. Crabgrass is best killed by a selective called quinclorac. Yellow nutsedge requires a selective called sulfrentrazone or another called halosulfuron.
Selectively kill the weed infestations as best you can, get rid of the bad ones before they go to seed, and focus on the health of your grass -- in most parts of your lawn, healthy grass will out-compete weeds.