Used to buy those Shubbs. I'm not very good at hanging onto small objects though and got tired of spending $100/year on capos.

Nowadays I stick with a $6 Jim Dunlop "double action" (two elastic straps). Works great, and you can pull it off the fretboard slightly after moving it, to allow the strings to align themselves properly. Only down side is that observation Bob Weir is heard to make on a live Grateful Dead record "you can lose a finger tryin' to use it."