I have a couple of those clothespin/chopsticks hybrid clips and they're awesome. I used to use regular old fashioned wooden-clippy clothespins before that, but once I got the extended version, I never looked back. Another good quality of the fancy kind is they have a transparent front, so one can see the music through them if necessary.
Also helpful to make sheet music stay open is to do an old-fashioned "book opening", especially with perfect bound books of scores. Back in the day, they taught us how to do this in school, but today it seems to be a lost art.
Here's an illustration courtesy of AbeBooks
And here's another version
ETA: The book-opening thing works best if you do it first thing, before the book gets "trained" to want to open at one (or more) particular places.