i personally like either 5/16" braided nylon with the core taken out or (1/4 or 3/8 depending on my mood and what im doing) hemp.
http://www.knottyboys.com/code/index.php - lots of amazing stuff, especially if you get creative.
they sell clothes pegs that are perfect at walmart. those are quite weak but just enough to get the job done. i tried them on my girl during a scene the other day and she didnt even notice them (as i was informed afterwards >:-O). very good for introductory nipple clamping.