We use Scotch Fusselroller. It has sticky tape, and when it's used you can just remove one layer and then have a fresh next sticky layer. Works really well (better than the ones that you clean with water IMHO) and the stickyness is just right (not too strong, not too weak, and clothes friendly glue :o)

The most effect, however, has making it a fix part of your washing routine to check pockets for stuff before putting the laundry in the washing machine ;o)