I have discovered that cocktail shrimp make a great snack. Very little fat, no carbs, almost all protein and Wal-Mart has them pre-cooked/pre-peeled so no excuse for grabbing something easier. Plus, I get to feel a little decadent having shrimp as a mid afternoon snack.
I eat them with a little bit of wasabi mixed into some soy sauce so I get lots of flavor and protein for very few calories.
Warning: the pre-cooked I've been buying have loads of sodium so you'll want to watch that and there's a good bit of cholesterol for those watching your intake.