More effective again than separate tutorials, this is an area that the games industry generally does well at, having long since left behind the days of thick printed manuals. Gradually introducing concepts to the player during gameplay not only gives greater context, but also avoids overburdening gamers who are unable to process complex systems/concepts with too much information at once, and is more useful than upfront instruction/tutorial screens for people with short term memory issues.

If possible, treat complex mechanics as mini-sandboxes, allowing the practice them to be to be repeated until a player decides they are familiar and comfortable enough to proceed.

Best practice example: Assassins Creed Pirates
Best practice example: Silence
Best practice example: XCOM: Enemy Unknown
Best practice example: Assassins Creed III

More information: Types of tutorials