I use a nylon collar from Walmart. It's a small dog sized collar. It's loose enough to sit pretty low on her neck, and when I pull it up to her throatlatch area there's still plenty of space. I'm pretty sure she could slip out of it if she tried. Knock on wood, I've never had any problems with it yet.
I'm on the cheaper side, too - my goats all have dog collars from Walmart or Ocean State Job lot and are break aways. They have broken off from time to time, but cheap enough to replace. I wouldn't have a goat without a collar.