Sheet garters! It's like the things you use on a garter belt, but you use it across the corners of your sheet to hold the fitted sheet in place. They only cost a few bucks, and you should be able to find them at any bedding store.

The "sheet garters" that rivkadr mentioned work great. My wife bought some because our fitted sheet always came off on my side. Interestly, she said that all of her friends' said that it was always the husband's side that came off. Don't know of any homemade remedy.

Once I started purchasing fitted sheets that were extra deep that stopped happening. The sheets fit thicker mattresses.

I was going to say, a combo of extra-deep pockets and the garters-- works like a charm.

Is it just me, or does it seem like mattresses have become super-thick, but most sheet sets you find in stores haven't seemed to keep up? (Unless you want to spend a lot more money, of course-- isn't that always the way it goes.)