Depending on how small they are, I generally would use blunt trauma to the head. Kills them quickly if you do it hard, and knocks them out so they don't suffer. I've killed a number of car-struck animals over the years this way. I've used any hard object that was quick to hand (rocks, walls, shovel or other implement in car, etc.)
Putting animals in the freezer is a fairly humane way to kill them... they are cold for about a minute or two and then go to sleep.
Euthanasia sucks, but is better than the alternative most of the time.