It depends on what I'm coding. If it's just a small simple thing I'll do it like el_j above but if it's a fairly big script with a few pages and tables I'll use something like Litewarez. It's far less coding and work in the long run to just clean everything at the start.

If I'm super paranoid like an admin area I do like to do stuff like eg. replace example.com?go=delete with example?go=3 and example.com?go=reply with example.com?go=4 etc.
And then make sure it's an integer. Same thing for $_POST. Basically I try and make every transfered variable a number. It also confuses people a bit too which all helps.
Interested to know people's thought's on this.