All boats need good wind indicators, but they frequently get lost, broken, bent, "borrowed" or clipped off by another boat.
I've lost them in all manner of ways - including having another boat manage to loop their mainsheet around it and accidentally yank it off. It can be depressing watching them sink to the bottom of the ocean just as the first race of the day is about to start. It was all the more annoying because I was on starboard and he was on port, but after racing he came over to me and handed me a new one. It was a spare Hawk Mark II (identical to the one I'd lost), and he'd slid a cork onto the long metal bit that holds the indicator. "It stops them sinking, so you don't lose them if they get knocked off" he told me. It's a good idea, and it is also a good excuse to crack open a bottle of wine too.
Below is a list of the best wind indicators. My favourite for the Laser is the first on the list - the Hawk Mark II, although the C-Vane looks good too, and has the added bonus of being hard to knock off. Previously I'd always used a traditional burgee, and for boats with a tall mast, where the best place to put wind indicators is the top of the mast, a burgee is still probably your best bet.
Hawk Marine Mark II Wind Indicator
Easy to assemble, easy to fit, and very sensitive to even extremely light breezes, this is perfect for most single handed dinghies like Lasers, Sunfish, Toppers, Optimists, RS Aeros, and so on.
Little Hawk I
Perfect for Optimist and Topper sailors, this wind indicator is designed to go at the mast-top. Lightweight and accurate, with minimal drag.
C-Vane Wind Indicator
Perfect for Sunfish and Laser sailors. The design means it is far less likely to get hooked by another boat's mainsheet and lost forever. This forum has useful information for getting the most out of your C-Vane.
A more traditional-style mast-top burgee. Light, responsive and easy to see.