The larger 3" Golf Tees are my favorite, one end is a great tamper, and the other a nice pick to remove the ash and any unburnt tobacco. The best part is that they are super cheap, about $4.50 for a pack of 60 in my area, at Wally-Mart.
Large nails are okay, shell casings are good (.270, 30/30, .762 Nato, .223 and so on), and small / medium size Door Hinge Bolts are even better. A 3/8" wood doll-rod, cut in 3" lengths and sanded smooth at the ends, also works real well.
For what ever it's worth, I use my well calloused right thumb for the initial tamp after the charring light followed by light tampings with my ring finger the majority of the time. Since I do a lot of hunting, fishing and walking where beavers are present, I sometimes use a beaver chewed stick for tamping especially when I've packed flake tobaccos a little too tight.
My "fancy" non-typical tampers include hand cut revolutionary war era nails, rifle (.45-70, 338-06) and pistol (.45 and .38 ) shell casings, and golf tees.
I use the end of a Bic Roller Pen when a pipe nail/tool is not handy. I use my index finger if smoking a pipe while driving. Carlos, I shoot and reload 45-90 so I will have to give one of those shells a try.
ive actualy used rocks.. here we have alot of flint rocks that ocasionaly ive found a few about 4 inches long and around 3/4s a inch wide. also I use a sight surveyors nail, Beer bottle opener a spark plug.