Well, I captured my players' PC a while back, and it worked out fine. Only one guy got kinda pouty, but that was because his cool new spell didn't go off, not because they got taken.
What made it work was that I had them taken by a band of paladins and half-celestials. The party's actions had--unwittingly--caused the death of an innocent girl and the band was sent out to bring them before the Court of Ebarak for justice (or absolution depending on the results of the trial). In fact, the party had the opportunity to come quietly right away (though I didn't expect that to happen. heh heh)
The party fought back, but knew that if they killed any paladins, every church, temple, and pious city in the world would be after their heads. So in the end they surrendered when they saw a getaway wasn't going to work for everyone.
(BTW, whatever you choose to use, make them VERY MOBILE. PC are, as has been said, very slippery, and your captors need to be fast and flexible: ie. flight, teleport, see invisibility, high run speed, etc.)
R