I don't know about grippy contact paper (I'd imagine there's something) or tennis grip tape. I've used leather cord, suede strip and paracord for my grips and found them all satisfactory, depending on how they're put on.
Something I've been meaning to try out is a rectangle piece of faux leather I picked up for a large grip wrap on my Dark Standard Issue, but that would mean undoing the suede wrap, which took bloody ages to do in the first place.
Here's the grip wraps I've used and remembered to photograph, and what I thought of them.
Leather cord (Half wrap)

The cord I used was
way too thick to work well (3mm). It did add a lot of grip, but it was too thick to really be comfortable. Using a thinner cord (I've got some 1.5mm that's about right) would make it much more comfortable.
Paracord (Half wrap) and leather cord (hand stopper wraps)

Paracord is great. Not too thick, very comfortable to hold and it gives a lot of extra grip. The 3mm leather cord works really well like I did it here; it doesn't add much grip, but that extra thickness makes it a lot harder for your saber to just slide out of your hand.
Suede strip (full wrap)

Probably my favorite grip wrap material. 3mm/1.5mm, I think. The texture is a bit rough at first, but once you're used to it it's fine. It gives plenty of extra grip, isn't too thick, and if you do even a half decent job (I suck at grip wraps) it'll be plenty secure.
Hope that helps.
