I olympic lift, so i don't use heavy knee wraps like the powerlifting boys use (that allow you to lift additional weight). I have used Rehband sleeves for 10 years (gone through 3 pairs). Love them. They keep the knees warm and give some support. I don't lift without them. You might also check out Rocktape knee sleeves, look like a similar product as the Rehbands, only aimed at the growing crossfit crowd. I'm actually thinking of getting a pair to see how they compare.
Also, you can try straight Ace bandage type wraps. I use "Cramer" that come in 4" wide rolls (don't remember how long they are, maybe 9'). Again, these are NOT the thick powerlifting wraps, but they work great. The problem with the wraps is that you have to experiment with how you wrap. When i first started using them i wrapped to tight and during the middle of my session i lost feeling in me feet :o)
Its a bit of an art, but when you can wrap properly for your body type its awesome. For me it makes a big difference, instead of limping out of the gym in pain, i walk out feeling like i'm not nearly as old as i am.