I have several of this one:
Pet Dog Cat Tent Puppy Playpen Exercise Play Pen Crate Small Teal - eBay (item 260597733410 end time Mar-01-11 10:55:06 PST)
My little escape artist was able to get out of the standard playpen I bought for her within a week of her coming home. This pen has a top that zips on, and she has not been able to dig, chew, or climb her way out.
It comes in several colors and sizes -- I have the small ones -- one for her bed in the bedroom, one in the living room where she likes to doze at night, and one in the car for travel. They're lightweight and easy to move around -- I don't move the bedroom one because it's loaded up with her bed and a water bottle on a stand. But when we entertain and I'm worried about Tallulah getting out or getting stepped on, I move the other pen around and keep it right by my side. I'm getting ready to order the largest size so she will have more room to play in when we entertain outdoors.