Our kid doesn't tend to wander as much as some do, so she was never going to be a really huge problem, but what we did was when she did try to wander at night was a) tell her that now it was time to sleep and she needed to stay in bed, b) as soon as she exited her room, I would silently (silence was key) lead her back to bed and dump her back in. (Bonus points because I was the less favored parent at the time.) Rinse and repeat. I did have to stay fairly near her room for several nights, but after that she got the idea and has been pretty good about staying in her room (if not always her bed) since.

We've never actually closed the door of her room (my family was an open-door sort of family, so I never really got the hang of it, and since she wasn't unusually prone to wander it was never an issue).

In the mornings she will wander out of her room -- I've never tried to stop that -- but she really likes to play with mom and dad, so she'll yell for us if we're not up yet. I wish she'd play by herself! :)