I've had good luck with plastic shim stock. Very easy to cut and if you have too, to free up a hand it can be held in place with tape. The nice thing here is that plastic shim stock can be had in "books" that have "pages" of various thickness which comes in handy around the shop. So buying a book of plastic shim isn't a waste of money.
The other material that I've had good luck with is copper pipe either as a sleeve or smashed flat to form a shim. This is stuff is nice because I have scrap from plumbing jobs and stuff left over from my fathers business. In some cases you may need to anneal the copper. Copper seems to grip a bit better too.
What you should avoid in my opinion is anything compressible, that as a result might loosen under load. Having a piece shift in a chuck is bad voodoo. Thus I would stay away from wood, leather, soft plastics and the like.
You can also consider super glue or maybe Loctite and piece fitted chucks. For example, if you need a machine the other side of a custom washer, machine a pocket in some waste stock and then glue the washer into the pocket. Heat allows for separation after machining and a little clean up and you are done. Clean up can be done with super glue solvents so as to avoid surface damage. This technique can be extended to a lot of different items, the only thing you need to be concerned about is run out. Well that and really heavy cuts might not be a good idea.