I've had great success with a large Ziploc bag. I bought an adapter ring from Cokin, for their filter system; it has a flange on it that I found helpful in attaching the bag to. Cut a hole in the bag just big enough to get the ring in, and use, of all things, some door edge guard available at your local autoparts store. Line the edge of the hole up along the edge of the flange, and press the guard stuff down around the edge until you've gone all the way around the flange. There's some mild adhesive, inside the fold of the guard, that helps to seal it.
In other situations, if you plan on using any kind of tape, I highly recommend gaffer's tape, available at a local film equipment supply place or online at places like Markertek. It's more expensive, but worth every penny. The adhesive is not destructive at all, and is quite strong in most instances. Plus, the tape is more malleable... you can easily form it around things and get a good seal.