Using primer isn't always as simple as painting it on to the wall. There are things to take in to consideration. When you need to use primer on a surface, it's worth the extra time to make sure you are doing everything correctly.
1 - Purchase a High-Quality Primer
A cheap primer isn't going to give you the coverage necessary in most cases. It may also require you to use multiple coats. This defeats the purpose, as you may end up spending more money in the long run on more primer. Make sure you are using a high quality primer. It may cost extra, but in the long run it's well worth it. Also make sure you are getting the right primer for the job. There are differences in the primers available. Check to ensure you are getting the right one.
2 - Using Paint with Built-In Primers
Many paint producers are now making paint that includes the primer. This is great for unfinished wood, and new drywall. To cover existing paint it's not always the best choice. Darker colors are going to show through, even if you have a paint with a built in primer. If you are painting over existing paint, go ahead and use a primer by itself first. This will ensure you have good coverage. If you are painting over wallpaper you will also need to use a separate primer as the wallpaper will end up showing through later.
3 - Don't Skimp
Primer is similar to paint in that what you see when it's wet is not always what you get when it dries. As it dries, you may still see the previous paint under the primer. You can avoid this by using a good layer, and not over rolling. Over rolling will create thin spots that will require you to touch up before you can paint.
4 - Use a Roller
It's easiest to apply primer with the right tools. Using a good quality roller brush is the best way to go. A thick brush will allow you to coat the wall more quickly and could possibly eliminate the need for an additional coat. A cheap brush won't offer adequate coverage, and will require you to do another coat, possibly more than one.
5 - Use the Right Primer
Primer, just like paint, is available with different bases. Latex and oil-based primers are the most common. Be sure you are using the right base for the area you are painting, and make sure you use a paint that corresponds with it. Using an oil-based paint on top of a latex-based primer will just result in cracking and peeling in moderate temperatures.