So far all advice given is great, however, I'd like to emphasis the importance of first applying floatant before ever getting the fly wet as well as removing as much water from the fly each time you use your floatant.
A cotton t-shirt tail works well for this....but in today's high tech fishing world, more and more people are wearing synthetics which do not remover the water very well. I've grown to love the little amadou fly drying do hickies. No matter how drench or fish slimed the fly is, a quick squeeze or two will dry the fly out almost completely.
Once your fly is dried, I've found that a lot of the different types of floatants have their time and place. As mentioned, froggs fanny works wonders with cdc and emergers/nymphs. The powder shakes work well for a lot of bushy patterns, in fact it's almost a must for heavy water....(however, after a lot of use will eventually render the fly practically unfloatable). The shake floatants will also change the color of your fly a little bit which can be used as an advantage in certain situations....and it also comes in a dun color....the shimazake (sp) does anyway.Over all, for continuous application over the course of a day...I like the loon hi float or gink. Will float a good DRY dry fly a long time in rough water. Try experimenting with different types in different situations and you'll see where each is strong and or weak....but I persoanlly think you need to carry a little bit of it all.
