Wow, expect a flurry of responses to this question.
We have a kettle thermometer in our mash tun, but the guy I brew with is a professional chef, so we also have a small collection of digital kitchen quick-read thermometers. The kettle thermometer is analog and works fairly well. The digital quick read does an excellent job too, and only costs around $15. Calibration for each one is simple. The kettle thermometer uses a screw in the back to adjust the dial relative to the position of the needle. The digital has a menu to do the same.
We cut up a wine cork and slid it down the shaft of the quick-read, so now it floats. We almost never float it, but it can be done.
This is the thermometer we use.
http://www.amazon.com/Taylor-9842-Commercial-Waterproof-Thermometer/dp/B00009WE45/ref=sr_1_1?ie=UTF8&qid=1300723094&sr=1-1-catcorr
Great price. Does it work well for mashing, that is, it's accurate enough?
Yes. It's used by a lot of folks in food service and is required (a digital quick-read thermometer) by the NYC food cops. It's not a lab thermometer.