Have you heard of Goody's Spin Pins? I picked some up at CVS last week (Target was out.)
Here is a close up shot.
Basically you twirl your hair into and bun and then "screw" these in. One through the top - one through the bottom. They go in really easily. And then the bun is pretty much set like concrete.
This is my hair 12 hours after (and no make up.)
Let me add: Today I went shopping and tried on many clothes. Bun survived. Went to the water park. Spent half the time on the lazy river and half the time with my hair squished against a lounge chair. Bun survived.
Lastly, it was a HOT HOT HUMID day. You can see that the bun held. (Although some of my shorter layers did not fair as well. What can I say, it was a long day.)
Highly highly recommend.