I've always had baby fine hair - described as like a cobweb by one of my first hairdressers. That was actually attractive when I had a lot of it, but now I'm cracking on it's thin as well and the bane of my life.
There's not enough to do anything with - I tend to just keep it fairly short and fasten the wispy ends back in a scrunchy or clip. And as j08 says, it's scary when there's an overhead light in front of a mirror - there's no way you can pretend there's nothing wrong when you stand under it!
I do take Viviscal - whether it helps or not I don't really know, but I fancy there was a slight improvement at first, so I keep on.
For a couple of years I went down regularly to Mark Glenn's salon in London for extensions - the salon specialises in styling people with hair loss problems so you don't run the risk of damaging what you have. Mark and his staff are miracle workers. I was once having a bit of a moan to a girl there who I assumed was just waiting for someone, because she had the most beautiful shiny thick hair, so of course I was whining about how lucky she was and what a rough hand I'd been dealt, boo hoo hoo. Then she told me she had had alopecia since she was 14, and was virtually bald.
I stopped going because it was a bind to have to trek to London for a Saturday every 3 months, and of course not cheap, especially with train fares added. I wish I could find a similar salon that I could trust up North.
One tip is Batiste dry shampoo - I should have shares in it! It does bulk up what little I have, though you have to watch out for the greying effect if you don't brush it all out. There are versions with a bit of colour added, but I don't find that they work just as well. Ditto other makes of dry shampoo, in my experience.
Sorry for the long post - but if anything above is helpful, my work here is done!
PS LizG - pimple on a haystack - love it! 
If we could just get a trend going for wearing all these Halloween hats, all our troubles would be over!