Just popping in to say that it would be, umm…nice if folks would realize that there’s actually a 4th branch of Judaism that is referred to as Reconstructionist (we’ve been around for awhile now). (The Hasidim, as I understand it, are actually a part of that big and varid tent of Orthodox Judaism, so the four branches of Judaism would be Orthodox, Conservative, Reform, and Reconstructionist.)
As for the rest of my $.02:
In my shul, people tend to wear varying kinds of headwear, ranging from kippot (the plural of kippah) to Muslim-style kufis to those pillbox thingies mentioned somewhere upthread (though kippot and kufis tend to be prevalent). My shul also provides those satin or velor yarmulkes, but people who wear them tend to be either visitors or members who don’t ordinarily wear a head covering outside of shul or some other observance.
I wear a kippah serugah (it’s a knitted kippah that’s usually associated with modern Orthodox Jews–in fact, you might hear a modern Orthodox Jew referred to as a “kippah serugah”–though I am not Orthodox) because it’s comfortable and it lies flush with my skull, unlike those satin or velour yarmulkes that stick up so unattractively that some people wear.
Rare is the occasion when I don’t have my kippah on in public. When I come home from work/school and change clothes, I do take it off and leave it off until I either go back out or say the shema before bed. (I can’t tell you how many times I’ve gone to find it later on and have torn the apartment apart, only to find it balled up with the t-shirt that I’d doffed earlier–y’know, from pulling the shirt up over my head.) I also don’t wear it if I know I’m going to be somewhere where I might eat something treif (not kosher), but that’s not often when I’m up north. When I go back home to South Carolina, though, it more often than not resides in my back pocket, 'cause I already know what the deal with eating is going to be (I come from a devoutly pork-eating family, and it’s not always ultra-important for me to keep kosher outside of my home. Mostly, but not always.). Oh, and when I fly, not so much (Black man + skullcap + wariness–perhaps irrational, perhaps not–of profiling mishegoss = no kippah for me). Oh, and when I go out to a bar where I might remove my outer hat (I always wear a regular hat outdoors), I take it off. (Gay bar + guy in a kippah = very interesting reactions.) As for sex, what the hell is that? 
I’m not bald (and thanks to my genes, I probably never will be), so (that’s one reason why) I don’t use bobby pins to secure my kippah. One of the other reasons is that I don’t let my hair grow long enough where using bobby pins would be possible (I tend towards a military-style haircut). Though this is the first time I’ve ever heard of a product marketed specifically for use with kippot (Kipon, which someone else mentioned), I do use (and have used for many years) regular velcro in order to secure my kippah to my head. I just get some adhesive-backed velcro (the prickly side–I think they call it the “hook” side), cut it into four small rectangles (for better coverage–y’know, one for each directional, N-E-S-W), stick it to the underside of the kippah, and I’m ready to go.
So, yeah, that’s my $.02. Or $2, considering the length of this damn post.
–Li’l Pluck, proud Reconstructionist Jew who thinks that perhaps we ought to market ourselves better so that people will realize that we exist.