Hyphens are like chopsticks. Their proper use comes naturally to some, but everyone kinda knows how to use them. Still, it takes practice to use them properly without staining your shirt. Well, the metaphor does tend to break down a bit at that point.
If you need a little refresher course, or just a quick cheat sheet for future reference, try this (based on Chicago manual guidelines):
"Anti" and "Pro" usually take no hyphen. Consider antibiotic and antihero, prosocial and promarket. However, if the part after the "anti" starts with an "i" (or an "o" after "pro") or a capital letter, add a hyphen: anti-inflammatory, pro-option, and anti-Hitler. Other exceptions (such as "pro-life") can be found in a good dictionary.
"Self" nearly always takes a hyphen, as in self-help, self-control, and self-assessment.
"In" requires a hyphen when it's used to form a two-word description of something. As researchers, my clients can think of in-person interview and in-depth study. An exception is in vitro.
"Meta" doesn't usually take a hyphen, but meta-analysis does, because of the repeated "a."
"Mid" and "multi" are mixed bags. It depends on the style guide you're following.
Of course, there's a lot more to hyphens that we could talk about. (For instance, a zoo full of black-and-white bears would look totally different from one full of black and white bears.) But if hyphen questions often come up as you're writing, maybe this list will get you started answering them.