How cute are these little llamas? They're intended for storing little bits of yarn -- they would really be handy when you're done a project and want to keep a sample of the yarn for future reference or repairs. Or you might even use a little bobbin like this for intarsia, though I would use pretty thick cardboard.
Image by Picot Pals
Images by (clockwise from top left) Little White Whale, Wild Olive, Wild Olive, American Felt and Craft
Or you could emulate these sly lambs (I can't find these for sale anywhere, but I couldn't leave them out of this round-up!):
Image by Gwyn M. Lewis
And a last, very quick and pretty idea, is Attic24's yarn pegs:
Image by Attic24