I recently went skiing with friends and one of them had a Gopro Hero camera. This was used on his helmet as well as on his pole. He has also used it in the past for Paintball, again using from his head and also strapped on his marker.
I am looking at getting one now and although is expensive at between £200 to £300 I think its worth every penny.
You can get by far cheaper items, but do you want cheap and cheerful with no decent footage or spend a bit more and get loads of decent footage ??
Hope this helps.