There are all kinds of jewelry findings that make great stitch markers. Jump rings and split-rings (the kind used for keyrings) come in multiple sizes and you can add charms and beads to them yourself for custom stitch markers.
My favorite thing is the round component of a toggle clasp. It's a solid circle for the part that goes around the needle, and most have a small loop to add personal touches. Unfortunately, they cost more than the rings mentioned above and the straight component of the clasp isn't much use as part of a stitch marker.
I have found jewelry supplies here by going to Wal-mart, Hobby Lobby, Jo-ann, Hancock Fabrics and Michael's.