Rene Furterer makes the absolute best dry shampoo ever! Wellll worth it; I stocked up big time when I was in Paris. I haven't seen it in the UK or the US shops like Boots/Superdrug/Walgreens/CVS/etc, except for in actual salons (though admittedly I wasn't looking too hard as each one lasts me quite a while), so depending on where you are located you might try Amazon or other sites to order online.
Edit: I've also tried Tresemme and Batiste in addition to Rene Furterer's one. Batiste is pretty good, I used it for a while before I found RF's dry shampoo. I have a thing of Tresemme but to be honest it's really difficult to use and makes my dark brown hair look like it's got terrible dandruff even after I spend 5 minutes trying to work it in! Batiste makes my hair a bit ashy, but not too bad. I think they have one specifically for dark hair too, which I'd like to try. But in terms of ease of application/results, I stand by RF; it takes just a couple sprays and the scent is nearly unnoticeable.