Salon Collections Sponge Hair Rollers are one of the best I have tried. They are inexpensive, convenient to use, lightweight, and soft. A secure plastic clasp keeps them on, I don't have to worry about losing some in the process of getting my hair done. I can regulate the curl by wrapping my hair more or less tightly on each roller; the spongy roller will adjust. The rollers come in different sizes, too; that allows even more creative variety in hairstyles, from a crazy curly mess to smooth waves. I prefer moderation in everything, so I mostly use medium and large ones.
As someone who detests curling irons but prefers to have nicely shaped wavy hair, I am very happy with these rollers. Using them might take some time; since these are not heated rollers, the process is wrap - blow dry - unwrap - brush. However, the end result looks very natural and lasts long.