Here's a couple other trigonometric approaches:
$$ \cos\left(\frac{2\pi}{5}\right) \ + \ \cos\left(\frac{4\pi}{5}\right) \ + \ \cos\left(\frac{6\pi}{5}\right) \ + \ \cos\left(\frac{8\pi}{5}\right) $$
$$ = \ \left[ \cos\left(\frac{2\pi}{5}\right) \ + \ \cos\left(\frac{8\pi}{5}\right) \right] \ + \ \left[\cos\left(\frac{4\pi}{5}\right) \ + \ \cos\left(\frac{6\pi}{5}\right) \right] $$
$$ = \ ( 2 \cdot \cos \left[ \frac{\frac{8\pi}{5} + \frac{2\pi}{5}}{2} \right] \cdot \cos \left[ \frac{\frac{8\pi}{5} - \frac{2\pi}{5}}{2} \right] ) \ + \ ( 2 \cdot \cos \left[ \frac{\frac{6\pi}{5} + \frac{4\pi}{5}}{2} \right] \cdot \cos \left[ \frac{\frac{6\pi}{5} - \frac{4\pi}{5}}{2} \right] ) $$
$$ = \ ( 2 \cdot \cos \pi \cdot \cos \frac{3\pi}{5} ) \ + \ ( 2 \cdot \cos \pi \cdot \cos \frac{\pi}{5} ) \ = \ -2 \cdot ( \cos \frac{3\pi}{5} + \cos \frac{\pi}{5} ) $$
$$ = \ -2 \cdot ( 2 \cdot \cos \left[ \frac{\frac{3\pi}{5} + \frac{\pi}{5}}{2} \right] \cdot \cos \left[ \frac{\frac{3\pi}{5} - \frac{\pi}{5}}{2} \right] ) \ = \ -4 \ \cdot \ \cos \frac{2\pi}{5} \ \cdot \ \cos \frac{\pi}{5} $$
$$ = \ -4 \ \cdot \ ( 2 \cos^2 \frac{\pi}{5} \ - \ 1) \ \cdot \ \cos \frac{\pi}{5} \ = \ 4 \ \cos \frac{\pi}{5} \ - \ 8 \ \cos^3 \frac{\pi}{5} \ , $$
to which we shall return. We also have
$$ \cos\left(\frac{2\pi}{5}\right) \ + \ \cos\left(\frac{4\pi}{5}\right) \ + \ \cos\left(\frac{6\pi}{5}\right) \ + \ \cos\left(\frac{8\pi}{5}\right) $$
$$ = \ \cos\left(\frac{2\pi}{5}\right) \ + \ \cos\left(\frac{4\pi}{5}\right) \ + \ \cos\left(- \frac{4\pi}{5}\right) \ + \ \cos\left(- \frac{2\pi}{5}\right) $$
$$ = \ 2 \cdot \left[ \cos\left(\frac{2\pi}{5}\right) \ + \ \cos\left(\frac{4\pi}{5}\right) \right] \ = \ 2 \cdot \left[ \cos\left(\frac{2\pi}{5}\right) \ + \ ( 2 \cos^2 \left(\frac{2\pi}{5} \right) \ - \ 1 ) \right] $$
$$ = \ 4 \cos^2 \left(\frac{2\pi}{5} \right) \ + \ 2 \cos\left(\frac{2\pi}{5}\right) \ - \ 2 \ . $$
A bit unfortunately, we do not get any obvious simplification; instead, we need to bring in the values for $ \ \cos\left(\frac{\pi}{5}\right) \ \ $ and $ \cos\left(\frac{2\pi}{5}\right) \ , \ $ which are known exactly. [One discussion can be found here . ] We thus find
$$ 4 \ \cos \frac{\pi}{5} \ - \ 8 \ \cos^3 \frac{\pi}{5} \ = \ 4 \ \left( \frac{1 \ + \ \sqrt{5}}{4} \right) \ - \ 8 \ \left( \frac{1}{4} \ + \ \frac{\sqrt{5}}{4} \right)^3 $$
$$ = \ ( 1 \ + \ \sqrt{5} ) \ - \ 8 \ \left( \frac{1 \ + \ 3 \sqrt{5} \ + \ 15 \ + \ 5 \sqrt{5}}{64} \right) \ = \ ( 1 \ + \ \sqrt{5} ) \ - \ ( 2 \ + \ \sqrt{5} ) \ = \ -1 $$
or
$$ 4 \cos^2 \left(\frac{2\pi}{5} \right) \ + \ 2 \cos\left(\frac{2\pi}{5}\right) \ - \ 2 \ = \ 4 \ \left( \frac{ \sqrt{5} \ - \ 1}{4} \right)^2 \ + \ 2 \ \left( \frac{ \sqrt{5} \ - \ 1}{4} \right) \ - \ 2 $$
$$ = \ \left( \frac{ 5 \ - \ 2 \sqrt{5} \ + \ 1}{4} \right) \ + \ \left( \frac{ \sqrt{5} \ - \ 1}{2} \right) \ - \ 2 \ = \ \frac{3}{2} \ - \ \frac{1}{2} \ - \ 2 \ = \ -1 \ . $$
Naturally, this is related to the methods discussed by the other solvers through geometry in the complex plane.
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It would be a fair question as to why I bothered writing all of this out. I also want to show that this produces some other interesting identities through the "golden triangle/pentagram". Since $ \ \cos \frac{\pi}{5} \ = \ \frac{\phi}{2} \ $ , we can write
$$ 4 \left( \frac{\phi}{2} \right) \ - \ 8 \left( \frac{\phi}{2} \right) \ = \ 2 \phi \ - \ \phi^3 \ = \ -1 \ , $$
which bears some resemblance to one of its defining equations, $ \ \phi^2 \ - \ 1 \ = \ \phi \ . \ $ Writing $ \ \cos \frac{2\pi}{5} \ = \ \frac{\phi^2}{2} \ - \ 1 \ $ (from the "double-angle" formula), we also have
$$ 4 ( \frac{\phi^2}{2} \ - \ 1 )^2 \ + \ 2 (\frac{\phi^2}{2} \ - \ 1 ) \ - \ 2 \ = \ \phi^4 \ - \ 3 \phi^2 \ = \ -1 \ . \ $$ (Of course, since we could also write $ \ \cos \frac{2\pi}{5} \ = \ \frac{\phi \ - \ 1}{2} \ , $ this second identity is closely related to the previous one. All of this is in fact underlain by those fifth-roots of unity discussed in many of the other answers here. [This is part of what makes "5" one of John Baez' favorite numbers...]