When I go jogging or play soccer my yarmulkah will not stay on, so I wear a baseball cap instead (my hair is too thin/absent for clips or velro). This makes my head uncomfortably hot. What could I wear instead?
http://www.5tjt.com/the-ultimate-sports-yarmulke/ I don't think this actually exists because they didn't get funding for it. But you can crib the idea and use a sweatband to trap the kippah in place, similar to Oliver's suggestion.
Kippa Klipz stick onto the underside of your yarmulke, and you just clip them onto your hair. Unlike regular clips, these work with much less hair to clip onto, solely because of the angle. Just be careful when using them - in my experience they don’t come off of the yarmulke very easily, even in the wash.
I have never had a problem using standard "snap" clips. I would say that it works only for short hair, but, my kids had fairly long hair for a while, and they used them for years successfully.
Someone that's bald or has a shaved head would probably need to use Velcro or a thumb tack ;-)