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I've come across these words which can all mean "finally". What I'd like to know is how they differ in usage [nuance and formality]. Below are their respective entries in the 研究社 新和英大辞典 第5版.
いよいよ
1 〔ますます〕 still [even, ever] more; more and more; all the more; more than ever; increasingly; steadily.
2 〔ついに・とうとう〕 at (long) last; finally.
3 〔さしせまった状態〕

やっと
1 〔ようやく〕 at (long) last; at length; ultimately; finally; 〔苦難の末に〕 with difficulty; with [after] much [painstaking] effort.
2 〔かろうじて〕 barely; narrowly; by the skin of one's teeth; 〔ぎりぎりで〕 just; only; 〔ひどい苦難の末にようやく〕 with [after] much [painstaking] effort; with difficulty; laboriously.

ようやく
〔次第に〕 gradually; little by little; by ┌degrees [inches]; 〔ついに〕 at (long) last; finally; at length; 〔かろうじて〕 barely; hardly; narrowly; 〔骨折って〕 with (much) difficulty; with a great deal of trouble; 〔わずかに〕 (only) just. [=やっと]

ついに
〔肯定文で〕 at (long) last; at length; finally; in the end; in the long run; in time; ultimately; 〔否定文で〕 after all. [=とうとう1]

とうとう
at last; at length; finally; in the end; ultimately; 〔結局…しない〕 after all.

As I understand it, いよいよ and やっと carries some anticipation, ようやく implies difficulty, effort involved and it's more formal, ついに has some negative connotation and とうとう is mostly neutral. However, I'm not quite sure.

Thank you in advance for your insights.

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Long post, so there's a summary in the TL;DR section at the end.

If you are wanting to dive into some details; sometimes, I find that looking for words with the same (often rarely used) kanji can help to get a handle on nuance differences.

愈愈【いよいよ】 : The kanji here are perhaps the least helpful of the bunch as they are almost exclusively used, if ever, for this word and its antiquated forms.

However, note that there is another usage that means

more and more; all the more; increasingly.

Examples of this usage can be seen in sentences such as

試合もいよいよ大詰め、9回の裏です。
The game is coming to a close, and it's the bottom of the 9th.

That nuance gets mixed in with the "finally" meaning in the sense that your expectations have built up and finally you get some closure:

決勝戦の前、私たちのコーチは「いよいよ本番だ!」と言った。
Before the long-awaited final game, our coach said, "This is it!"

漸と【やっと】 : Words with related kanji are

漸次【ぜんじ】ー gradually; slowly; little by little; incrementally  
漸進【ぜんしん】ー gradual progress; steady advance  

in which the word "gradual" stands out. This is probably close to what an English intuition of "finally" is--a gradual build up to a "final" conclusion.

俺と小沢まりあ、やっと結婚するぞ!
Maria Ozawa and I are finally getting married!

Note how, as compared to いよいよ, the buildup isn't necessarily of expectations. In the above example it could be hinting that everyone else was waiting for us to get married.

漸く【ようやく】 : The character here is the same as for やっと, and in fact the "gradual" nuance pretty much carries over. However, you tend to see ようやく more often in a stiffer/more business context.

その2社はようやく条件付きの合意に達しました。
The two companies finally reached a conditional agreement.

Which sounds like they have been deliberating for quite a while.

遂に【ついに】 : Probably the most common word to see this character in is with

遂げる【とげる】ー to accomplish; to achieve; to carry out

From this we would expect ついに to be used commonly in instance where, perhaps after much effort, you finally reach some sought after conclusion.

長年の努力がついに報われて、彼らは金持ちになった。
Their years of effort finally paid off and now they're rich.

Though sometimes it's not always that cut and dry, and instead of "accomplish" we get something more like "working steadily toward an end".

長年続いたそのテレビ・シリーズが、ついに終わる。 The long-running TV series finally came to and end.

到頭【とうとう】 : The first character here is seen often in

到着【とうちゃく】ー arrival  
到達【とうたつ】ー reaching; attaining; arrival  

And, of course, you recognize the second character as

頭【あたま】ー head; top

These two indicate more of a focus on the destination instead of the process/buildup of getting there. The situation came to a head and you _finally reached the end.

彼はとうとう身を固めて、家庭を持った。
He finally settled down and started a family.

TL;DR:
いよいよ ー Finally, after a build up of expectation.
やっと ー Finally, after some gradual build up (not necessarily expectation).
ようやく ー Finally, like やっと, but more business-y or formal
ついに ー Finally, after working to accomplish something or toward some end.
とうとう ー Finally, having arrived at some end.

Disclaimer: Naturally, here I'm picking example sentences here that are pretty clear, and in actual usage you don't see such stark meaning boundaries. However, hopefully, the stuff above gives a start into building your own intuition on how these words feel.

References: Several of these examples were pulled off www.alc.co.jp, though I tweaked the translations a bit. The definitions were pulled almost verbatim from EDICT on WWWJDIC.

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I was looking at テレビ・シリーズが、ついに終わる and I wonder -- are やっと and ようやく the only ones that could imply a negative nuance there, as if the series deserved to be cancelled? ついに describes that this is the climax of work, so sounds positive, and いよいよ implies that the event is hotly anticipated, so that's positive too. But やっと's "finally" can focus on the "gradual" bit-by-bit trudging along of the series, and sound negative. And the same for ようやく? –  Hyperworm Sep 6 '13 at 2:24
    
@Hyperworm For that particular sentence, yeah. Though I'd probably use only やっと, as ようやく just feels too formal, but otherwise it would be the same. The caveat I want to make is that やっと and ようやく focus more on a long expenditure of effort and/or time more than explicitly implying a negative nuance. This just often seems to go hand in hand with negatively-nuanced situations. –  b-wilson Sep 9 '13 at 1:26
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