This Forbes article discussed several ways to mitigate inflation risk:
TIPS (Treasury Inflation Protected Securities)
Pro: Interest and principal track inflation
Con: Phantom tax
CPI Futures (from Chicago Mercantile Exchange)
Pro: Most direct bet on inflation
Con: Most vulnerable to losses
Inflation-Hedged Mutual Funds (available from Vanguard, Fidelity, etc.)
Pro: Professional management
Con: Fees may hurt
Corporation Inflation-Linked Bonds (from Household Finance, etc.)
Pro: Coupon adjusts monthly
Con: Principal frozen
Let me add one:
I-Series Saving Bonds (details)
Pro: Interest and principal track inflation; no phantom tax; no fee
Con: Only adjusts semi-annually