I generally start out using Eucerin creme (the tub). If it gets worse, I will use more AND vaseline then put my hands in terry cloth mitts while I sleep like Michelle P said. It really does work, sometimes it takes a few days.
You can use Aquaphor too (works great on chapped lips as well) - this is made by the same company as Eucerin and is similar to vaseline. I use this as well, but it is pricier so I typically use the Eucerin/vaseline when it is really bad to start with as I use a lot and the Eucerin & Vaseline tubs each hold a lot.