I like blue water-erase pens for light cloth the best; just make sure you rinse it thoroughly before ironing or you can "set" the marks.
Anything that needs to tolerate heat, I like good old-fashioned tailor's chalk.
Similar to several ideas above; use water-soluble stabilizer to draw on and stitch through; rinses away easily and some of it is even self-stick. (Careful with Glad press & seal, if you're back stitching or travel stitching a lot you can trap bits of plastic between seams; it's best for open designs where you can pull the plastic from both sides of the seam.)