This knot is also called the double figure of eight knot
The Double Centauri Knot is an excellent knot for joining two lines that are similar in diameter (thickness). It is an easy knot to learn and is sufficiently strong for most applications because it creates less wear and friction than other knots. It is reported to retain 85-95% of the breaking strain of the line.
The following video shows the process very clearly and is easy to follow.
In this video the instructor is using the Double Centauri Knot to join a leader to a bimini twist, which is one of the most popular methods of attaching a leader to the main line. The bimini twist is an advanced knot, but one every keen angler should become familiar with. You can find a demonstration of the knot at my post - how to tie a bimini twist.