Hande
There are many ways to control the fan motor speed. 1. Insert resistance in series of the winding to drop voltage 2. Provide taps on the motor winding, 3. Use a light dimmer electronic circuit . You will get many schematics from the below web pages,

Sean
The typical pull chain fan has differently sized capacitors inside the fan for each speed. As you pull the chain it puts a different capacitor in series with the fan motor. It's the cheapest way to control a fan from a manufacturing stand point. As far as using a light dimmer switch you really shouldn't. It works by chopping a portion of the AC sine wave out of what is going to the motor and can cause a buzzing sound. Aside from being annoying it can cause over heating and possibly result in a fire or fan motor failure. They make switches for this purpose called solid state speed controllers. You can differentiate the two by pulling the cover of the switch and looking for a stamp that says either 'Fan Speed Controller' or 'For Use With Incandescent Only'.