Laser printer with Milk is my standard. A good printer and a very quick dip in the milk works best.
Recently, I bought some shrink wrap label holders from the Fast Rack guys. I saw their product at NHC, tried a couple they gave me and it worked really well. (Dont have to worry about labels running in the milk and it holds up OK in the cooler too.)
Grog tags are REALLY cool though, but price wise, that might add up.