In the manga/anime, it appears as if teleportation is very rare. The few we know that gets a little bit explained are, for example, Minato (4th Hokage) and Obito (Tobi).
Despite of this, a lot of characters (mainly in the anime) "disappear" with a flashy exit when they wish. Orochimaru does this a couple of times, including others. Often with a phrase such as "I don't have time to play around with you any more" and then poof, gone!
Is there some explanation to this? Do they use a clone and then run off while the clone says goodbye to the opponent? If that is the case, when do they create the clone?