This question periodically comes up on the Tu Diabetes OmniPod users forum, so I thought I'd write a quick summary of my solution.
Wearing the pods on your arm, to me, is the most comfortable site, but many people seem to be prone to knocking them off or loose. My solution is to wrap a so-called self-adherent wrap around the pod and my arm. They're self-adhesive, don't stick to the skin, and have just the right amount of "grip" to keep from sliding off the pod with activity. They also seem to "breath" a little to prevent sweating under the wrap. And you can cut them to exactly the length you want to get it as tight as is comfortable for you.
Coban is the name brand (made by 3M), but to save a few $$$ I just buy the generic version from CVS or Walgreens. For example, here is CVS's product. Just make sure to get a 4-inch wide variety; the 3-inch ones are not wide enough to cover the entire pod and tend to slip off too easily.
In addition to holding pods tightly to the arms, I've also used longer lengths when I used to wear pods on my inner thighs.
UPDATE: Someone recently told me about http://www.bands4life.net/ - I like the idea; think I'll order one to try it out as an alternative to the coban-style wrap.