So, one miracle product that I've heard other people talk about, but have only just found in a store to purchase and try myself -- Goody "Spin Pins":
It took me the longest time to find a store that sold these (I got them from Target, finally), and I'm definitely sold. I have very long, somewhat slippery, thick hair. So it's heavy, and it doesn't like to stay in really anything I've ever tried to contain it with (from rubber bands to bobby pins to specialty hair things meant for holding hair up). I end up having to re-do a bun or ponytail or anything else about once every hour to keep it from just completely falling apart on me.
I put my hair in a bun with the spin pins about 4 hours ago, and haven't had to touch it since. No stray locks falling out, it hasn't shifted down on my head from gravity, and it's got the same shape I put it in 4 hours ago. Magic! I am completely sold on these now, especially since they manage this lovely hold without being complicated to use or hurting my scalp.