I bought a speed rope on amazon. The cable ones are great if you are GOOD or always wear long pants, but if you are occasionally (or frequently) missing on double unders, you'll have painful welts on your calves. Initially, I bought one of the licorice ropes, but it broke fairly quickly.

This video seems a bit odd, as he's outside in the dirt, lol, but actually he does a great job showing some basic moves, and just this little bit will keep you busy for a while!
http://www.youtube.com/watch?v=MIIIXLhK8vw

Once you've got that mastered, then you can have a go at this routine (lol):
http://www.youtube.com/watch?v=1-h3u7YwyoQ

Then, get your friends together and tackle this one:
http://www.youtube.com/watch?v=TqI7cGM9mWs

Weird, Mel! We've had some at our gym for over a year and haven't broken any yet, though they get used pretty much daily.

Thanks for the suggestions everyone as well as the links Cheryl. Those were great. Enjoyed the first one the most. I decided to purchase a speed rope through Amazon so it should be here in a couple of days. I will probably purchase a weighted rope later on but right now I really do want to work more on agility. I certainly don't have problem getting enough upper body training in so the weighted rope isn't the same priority right now.

Have fun with it, Lydia! I've been practicing. Getting closer to doing the boxer-style "base jump" I think. Doing pretty good with the jogging in place, but the high knees one, I keep tripping, so my timing is off somewhere. It's fun to practice new moves, though, and one of my favorites for cardio in my warm-up.