Finger-Tapped Trilled Scales
This is perhaps my favorite technique; what I do is hold down one note of a scale with my left hand and repeatedly tap (ie, "trill") the next higher note of the scale on the same string with my right hand index finger; then move to other scale degree positions and trill each pair of vertically adjacent notes. Trills can also be done using the side of your pick or entirely one-handed as exemplified by Tony Iommi of Black Sabboth who pioneered the Trill technique. In this next graphic you Trill each pair of red and green notes that are on the same string:

***Note: You may have to click "Play" twice on some systems.***

String-Bending & Vibrato
String-Bending, as the name implies, is just where you hit a note and then bend the string so that the original note is bent up to some higher tone. Generally speaking, if you bend a note up, you should bend it up to another note in the scale that you are playing, not just bend the note up to some random stopping point. The Blues style is a bit of an exception to this general rule; in the Blues style you will occasionally hear partial or fractonal bends for coloration. Closely related to String-Bending is Vibrato. To add Vibrato, you hit a note and then rhythmically and steadily wiggle the string back-and-forth thereby modulating the original note. You can produce different sorts of Vibrato by changing the speed and distance that you wiggle the string.

The Blues Scale
The Blues sound is created by playing a Pentatonic scale and then sprinkling in "chromatic" notes to give it that bluesy sound; the Pentatonic skeleton is emphasized while the "chromatic" notes are tossed in occasionally for coloration. Basically, any note is fair game in The Blues style, but you must always return to the underlying Pentatonic Scale for the solo to sound in Key. Also, to add expression to the lead, The Blues style tends to use lots of string-bending, vibrato, sliding, and Double-Stops. In this next graphic, the black notes form the Pentatonic skeleton while the red notes are the "chromatic" notes:

The Harmonic Minor Scale
A favorite scale of Yngwie Malmsteen, the Harmonic Minor Scale has almost the same pattern as the Natural minor (or Aeolian) Scale; the only difference being that the 7th tone is raised 1/2 step (one fret). If you want to play Arpeggios in conjunction with the Harmonic Minor Scale, the type of Arpeggio you do for each tone number (ie, scale degree) will be different than for the Church Modes because the spacing of the notes is different; for the Harmonic Minor: 1=minor, 2=diminished, 3=Augmented, 4=minor, 5=Major, 6=Major, 7=diminished. The graphic below shows the first pattern of the Harmonic Minor Scale; the 1's are the Root notes:

The Gypsy Scale
There are other exotic scales that can be found to create a certain feeling. The following Arabic-sounding scale is the first pattern of a scale known as the Gypsy Scale; the 1's are the Root notes: