Dry shampoo is great if you have oily hair and you'll be out late or won't have access to a shower. Commercial dry shampoos work great but most of them are just talc or baby powder combined with a fragrance -- you can use regular or unscented baby powder for the same effect.
Real Simple magazine's weblog gives this tip as well as how to use the baby powder. Sprinkle a light dusting of powder on your hair and comb it in through to your roots. Keep combing until you can't see the powder anymore.
Baby Powder as Dry Shampoo [Real Simple]