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>Jaybird Jaylastic 4600: Tried this one, worked decently well. Main issue was during really sweaty workouts, the adhesive wouldn't stick to my thumbs as much and it would slip every once in a while.
This is what I have been using, and it's been working really well for me. I have a couple of the 2" rolls, and I just do two full wraps around my thumb and then tear it. As long as I put a little bit of tension on the first wrap I don't get any slipping, but I also don't sweat as much as some of my teammates, so your mileage may vary. Pretty comfy though.
This stuff is wizard magic.