In addition to the wonderful lists people have posted regarding binder tabs, I also type the scenes (or arias/songs, or acts, or whatever dramatic division makes most sense) on regular paper formatted into little 1/2"x1" flags. I then trim these flags and attach them to the script/score pages using scotch tape. These usually run down the right side of my book. Sometimes, if it's a musical I'll do script along the top and songs along the right. Or Act/Scene on top and French scene on the right. Depends on the show!
(And for the record, I put my flags on the page I need to turn to. I grab the pages in front of the flag, but never need to pull the flag itself (because it's bound to rip off eventually and always at the worst time if I abuse it too much).