I read in Stitch 'n' Bitch Nation (borrowed from my local library) the tip that the tiny elastic hair bands that you can buy make good stitch markers. I have two projects in progress that need markers, and the ones I had bought from my local yarn shop weren't very satisfactory, so I decided to try the hair bands.
They took some finding (Claire's Accessories, for UK readers), but finally I got a packet of 100 in very pretty colours.
They are sold in cute clear plastic ziplock case (with sparkly bits in the plastic) that you can attach to your key ring, in case you have a sudden need to mark a stitch while you are out and about. Or need to do whatever it is you're supposed to do to your hair. (I have no idea - I can't make them do anything in relation to my hair.)
[For people who haven't used markers - you put the band round the knitting needle next to a stitch that you want to mark, because you need to do something special at that point. Or more accurately, it sits between two stitches - it can move freely along the needle as you knit, but will always stay between those two stitches. When you get to that point in the next row, you just slip the marker across from the left needle to the right needle and carry on, so that marker is still between the same two stitches.]
The ones I had previously, from my local yarn shop, are much bigger, and because the yarn has to go round the thickness of the ring, the marked stitch is significantly looser than the rest, which is obviously not good.
I have also seen illustrations of stitch markers that are like miniature plastic safety pins, but I have not seen those on sale. Those would have the advantage that you can attach them anywhere in the knitting - the elastic bands you can only use to mark the stitch you are currently at. But so far I have not had to use markers any other way. So I am very pleased with my little sachet of elastic bands.