On a tip from Manuel, we recently switched cat litter from our typical large clay variety over to a product called Good Mews, sold in the silly yellow plastic bags pictured at left. It's fantastic stuff.
Good Mews (annoyed by the name yet?) looks a lot like rabbit poops made out of pressed paper. It's significantly larger than even the biggest clay flakes found in most litters—and we were going with extra-large clay anyway, since the finer-grained clumping litter can lead to urinary tract infections. Since it's made out of paper, it doesn't grit up the floor at all, which is really important when the majority of your house is either tile or hardwood floors, and we walk around without shoes most of the time. Whatever small bits of litter the cats kick out of the box are easily tossed back in again.
Plus, it turns out that the pressed-paper litter lasts a lot longer, as long as it's turned regularly to keep the moisture out.
The only real downside is that scooping takes a bit more time, as the paper clumps are too large to fit through the holes in a typical scoop. So instead, I spend a lot of time shaking the poops and litter around in the scoop, letting the majority of the litter fall back into the box, and then dumping the remaining litter and cat bits down into the toilet—which is safe, according to the litter bag.
It's easy to find up here in Washington, but I'm not sure where else it's distributed. Easily worth the (slightly higher) cost.
P.S.: Every time I hear "good mews" (or even just "good news") I think of this clip:

Wow, that is good mews!
....sorry
Yar, it be good stuff. Smells like forest too. Hmmm... forest.
Not that I would smell it on purpose or anything, that's just sick. But a nice side effect.
This isn't some kind of ... "buzzagent" thing is it?
Nope. We got really fed up with clay litter when we moved away from a house with lots of carpet, and the Good Mews stuff made a huge difference.