Most people will tell you not to put your kids name on them so someone doesn't try to lure them away - but if you're around me and my kid for more than 60 seconds you know his name is Allen!
Some people write their phone number on the kids arm with Sharpie, some people get special temp tattoos with thier phone number, there are also shoe ID's and bracelets. I work in a hospital so I went with a hospital bracelet that said "Found Child!" and had our cell numbers on it. Even that didn't work great - that kid was a Houdini and we'd find it off his ankle all the time.
I think we're going to get a child locator for our next trip!
D4D