I like 7-strand 550 paracord.... you can get it in a variety of colors (OD, black, desert, camo, white, orange, yellow, red) and even some glow-in-the-dark colors. It's cheap, strong, and functional, especially if you're a camper, hiker, and or insterested in survival techniques. I string it through my lanyard hole and then use a hangman's noose to coil it. On folders, the lanyard is short and on fixed blades it's longer. Not only will it help keep the knife from falling if you drop it, but you have the cord for emergency use.
NeedleRemorse, If I knew how to post pics, I'd show you some photos of what I'm talking about (you probably already know). Anyway, consider the paracord.... here's a link for the cheapest prices I've found
http://www.countycomm.com/550cord.htm
There's another cord I like too, but I'm not sure what it is. It's a smaller diameter than paracord, it's braided, and it's waxed. It might be some kind of waxed jute cordage, I don;t know. I should google search it. If anybody knows what the stuff is, let me know.