For needle turn applique, I use applique pins.
For turned edge applique, I used Roxanne's Glue Baste-It.
For fused applique, I use Misty Fuse or Pellon 805 (except for wool applique, when I use Heat & Bond). The one thing to keep in mind with fusible is that it gets stiffer the longer it sits on the fabric, so you want to apply it as close to when you are actually going to be stitching it as possible.