I'm not sure if this has been discussed here before (it comes up regularly in #bitcoin-otc on IRC), but I figured people here might be interested in buying options:
http://polimedia.us/bitcoin/options.phpIt doesn't let you write options yet, and the purchasing mechanism is a bit complicated, but I've used it before and it works pretty well. The guy behind it (mircea_popescu) is well respected in the OTC community.