The best material for EEG electrodes is said to be silver/silver chloride. At the Electrode Store I got WBT-DSC 9mm silver/silver chloride discs (100/pkg) for $18.00.
The problem with these is that they are made out of plastic, so one can not solder to them. It's also a bit hard to find the right size of connector that would fit the pin on the disk. But you can try: Howto
However, I found that a simple piece of 1/16" (1.6mm) heat shrink tubing is all you need. Here is how to do it.
The Modular EEG requires shielded electrode cables for the DRL to work well. Somehow I had trouble finding reasonable priced shielded cable that is thin and flexible enough to be comfortable to wear. At Mouser or DigiKey one has to buy at least 100ft which will be somewhere between $35 and $150. I ended up just using an audio stereo extension. It already comes with a stereo connector that you can use if you want to put your EEG into an enclosure. Each channel needs two electrodes, so make sure the cable is made out of two pairs that can be pulled apart on one end. This way you will have less single wires to get tangled in. Here are the materials:
Cut off one end of the extension cable, pull the pair apart a few inches and make a knot to prevent it from coming apart even further. Push shrink tubing over the ends. Strip off the outer isolation and separate the shield from the core. Then strip off the isolation of the core leaving just a bit to make sure the shield will not short circuit with the core.
Now cut off the shield as close to the isolation as possible. Make sure not to miss any of the small strands. Then wrap the core as tight as possible around the pin of the electrode disk.
Now push the shrink tubing over your wraps and the pin. Try to get all of the strands inside as good as you can. Finally shrink the tubing. You can do that over a candle if you are very, very careful not to melt anything. I use a little hot air gun that runs on lighter gas.
You can get it at Fry's or in Germany at Conrad Electronic
Here is the end result. It holds remarkable well together without any glue.
Remember to get contact gel from the Electrode Store together with your electrodes. You will need it.