I have been using a horrible (yet cheap) stylus made by Elago. After hearing many people speak fondly of the Wacom Bamboo Stylus, I decided to order one. The price of the Bamboo ($30) is why I didn't get one from the get-go.
Comes in a variety of colors. It's also available in black which isn't shown on the box.
*note: I've been asked by a few people if this box comes with all 5 colors. The answer is no. Wacom seems to have one box for all 5 products to save money on printing.
In terms of built quality, it's superb. The metal body is well finished and the plastic grip has a nice smooth grain. You can apparently order and replace the tips, which is good to know.
The clip is removable too. The stylus rolls around like crazy without it so I don't see anyone removing it.
The tip isn't tiny but it's smaller than many. I haven't had any accuracy issues during my tests.
The great thing about the Bamboo is the sensitivity. It's the first rubber-tip stylus I have seen that requires almost no pressure to work. The tip is also softer than most, which lets it slide around on the glass surface effortlessly.
Here are a few sketches I did on the plane today with the Wacom and Paper. If you are in the market for a stylus, just get the Bamboo. If you look for a better deal, you'll end up buying that and then buying a Bamboo like me.