If you don’t have a hole in your desk for cables, this set of 6 peel and stick clips will keep the various cables cluttering your desk from falling on the floor. They can also be used to route cables for a more tidy desk. The are available from ThinkGeek for $9.99 a set.
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A binder clip, via instructables.com, does the same trick for much less $$$.
those little white snap open cable clips that make an O shape when closed (C when open) work too, and are again much cheaper, with like 20 for $2. can also get replaceable sticky tabs, and can get removable tabs if you change your mind about where. And they come in lots of sizes. Just not quite as pretty