Best thing I use is Amazon.com: Adhesive Putty, Reusable, Removable, 2 Oz, White: Office Products
It doesn't damage the tiles or battlemat when removed, stays sticky for ever (meaning you'll not likely need to ever buy another pack) and wads up nicely when done using.
You can even pre-build your tiles (the larger rooms, anyway) and store them away ahead of time--makes for a dramatic reveal when you pull out the finished room, rather than telling everyone to take a potty break whilst you setup the encounter.
I use loops of electrical tape. I've even tested some by leaving it on some cheaper tiles for weeks and it seems to still peel off without problems as long as you do so carefully. I've prebuilt some layouts for oneshots, covering the areas with sections of paper so that things could be revealed as the adventure progressed.
02-25-09_grymvald_group_ 014 on Flickr - Photo Sharing!
There is a plastic coated fabric for cutting boards and such.
I've heard the the WotC guys use a big sheet of black felt.

(Dungeons & Dragons)
Rulebook featuring "high magic" options, including a host of new spells.