The type of metal is crucial. If they're brass or copper, solder is almost certainly the best way to go. If they're steel or aluminum, you'll probably have to make do with Super Glue or epoxy.
The diameter is also important. Are we talking about something half an inch in diameter, or just a few thousandths?
If the diameter is fairly large there are a couple of things you can do to help the adhesive stick. One is to roughen the surface a little with fine sandpaper. Another (which may or may not be practical, depending on the circumstances) is to file a flat on each piece where they're to stick together. Even a small flat surface will give the adhesive a significantly better chance of sticking than two round ones.
Solder, though, is the best solution if you're working with a metal that's compatible with it. Nowadays places like Radio Shack and Lowe's sell lead-free solder, which is much more durable than the old stuff.
Santa Claus (actually my wife, as a result of several hints) brought me a new soldering iron: the "Cold Heat" brand that's been advertised with nauseating frequency on TV. (Almost as irritating as that cursed $300 stepladder. May those aggravating people fall off of it.) It (the soldering iron) cost about $20 at Home Depot. It's powered by four AA batteries, and its big advertising point is that the tip heats and cools almost instantly. I haven't had a chance to use it much yet, but so far it looks really nice for model building purposes. The tip is in fact two pieces of metal, with a tiny gap between them. When both pieces are held against the workpiece, the latter completes an electrical circuit. A little spark flies up, and the tip heats to melt the solder. When the iron is removed from the workpiece the circuit is broken, and the tip immediately cools off. Pretty nifty.
Youth, talent, hard work, and enthusiasm are no match for old age and treachery.