I am a huge fan of tyvek wristbands to mark my yarn. They almost never break and when I write on them with a Sharpie all of my information doesn't run or fade. They come in a bunch of colors. I always say that I'm going to color code my samples somehow, but I have yet to do that.
I used to use paper and string tags, but once I tried tyvek I never went back. I get mine from various shops of Ebay, but I've used tyvek postal envelopes cut into strips and duct taped too.
What do you use to mark your yarn?