Jason,
Do you mean the plastic U channel that you mount above or on a baseboard or wherever? I've used those before and they did have adhesive on them so you didn't have use screws or brads to attach them to the wall. They worked very well and were easy to cut. I cut 45 degree angles at the corners for that professional look :-). A word of advice, either put the cable/wire or string in the channel before you mount them to make installation easier. I"ve seen them in different sizes to accomodate larger cables like Ethernet cables. I"ve also had to remove them - they came off very easily but they did take some paint with them.
Another alternative are flat wires that you mount on a wall/ceiling. They also use adhesive. They're very flat and they're also very expensive. After you run those you need to use drywall compound to blend the edges into your wall/ceiling and repaint. I looked into those for my current house (cathedral ceilings that are hard to get at from above) but I went with wireless instead and saved a fortune!
Joe
If you can't have fun doing it, it's probably not worth doing.