I used adhesive paper in the beginning, worked nice but it was a pain to remove, so I ended up cleaning bottles for 1 use then recycling them. Now I buy some nice linen paper, any rich nice full textured paper will do, print as many labels as I can fit on an 8.5 X 11" sheet, use a paper cutter to cut them out, and use a can of 3M spray adhesive. Just spray the blank side of the label, wait a minute, then press it onto the bottle (you have to be careful to do it very evenly, it sticks quickly). This works great, and after they're dry, hot water pretty much just makes the paper jump right off with no real residue.
Beer + Weird Stuff = Awesome