For strappy shoes and/or shoes that rub...
try Band Aid Friction Block Stick (around $5-8) during wear. I keep one of these in my handbag at all times. It really works but I have found that I need to apply it (you use it like a deodorant stick) often to the affected area if I am doing a lot of walking, like once every hour or two. It doesn't stain or make your feet feel slippery either. Worth. Every. Penny!
For shoes that rub and/or slip off your heels...
try Dr. Scholl's Inserts - specifically the heel liners (around $5-8). They come in clear gel and in patterns. You remove the adhesive and stick them to the inside heel of your shoe. I've used these on both heels and athletic shoes, and they've withstood it all. I would caution to make sure you give some time between gluing them to your shoes and wearing them. Wearing them too soon can cause the liners to slip out of place and force you to have to buy a new set.
try some of the other Dr. Scholl's inserts - ball of foot cushions (around $5-8), high heel insoles (around $9-$12) or hidden arch supports (around $5 - $8) Depending on the style of the shoe, the padding that already exists, and how much I plan on being on my feet I will pick one of these inserts. I find that I use the high heel insoles the most, and I don't usually have to use the adhesive on the back either to keep them in place. Most of the time I can transfer them from shoe to shoe, so that saves me some money too. The ball of foot and hidden arch supports I do usually have to glue into my shoes. Again, make sure to wait in between gluing and wearing for best results.
For heels that are just a little too tight...
try the premium shoe stretcher made specifically for 3" - 6" heels from FootFitter ($28.95). A regular shoe stretcher will not work well on a pair of heels because it needs that specific lifted foot shape to be able to get into the toe area properly. Also, make sure that you are using a shoe stretcher, not a shoe tree. A shoe tree is meant to preserve your shoes' shape, not stretch them. I find myself keeping the stretcher in a shoe for a couple of days rather than overnight as instructed. It seems to do a better job with more time, but even overnight you will have results. Please note, these are sold as singles, not pairs, and in specific size ranges. I have been able to get away with just having one but if you are in a crunch (no pun intended) you might want to invest in a pair instead. Also note that synthetic shoes are harder to stretch. I would give yourself extra time if the shoes you are stretching aren't leather. Another alternative is to buy shoes a half size larger and use the heel liners as shown above.
Here are some other methods to stretch shoes. They are cheap methods, but you get what you pay for. Personally, I wouldn't recommend using any of these:
Ice your shoes overnight...
Fill a plastic bag with water, place it inside your shoe and put it in the freezer. Unless you have plastic you can mold EXACTLY to the shoe and then fill with water, the only thing putting your shoes in the freezer is going to do is make them cold. I've tried this a few times with different shoes and materials. It has not worked once.
Wearing thick socks and applying heat...
While wearing thick socks, blast your shoes with a hairdryer for 20-30 second intervals. This does work on leather shoes, but it has extreme potential to ruin them at the same time. Without leather conditioner the heat will dry out your shoes and can lead to cracks, wrinkles and other unsightly markings. I'd avoid this is possible.
Potato method...
Find a potato that fits snugly into the shoe, peel it then push it into the shoe and leave overnight. If your shoes are fabric, consider them ruined with the potato's natural juices. Leather could also have potential staining. I haven't tried this but I don't see this working without issues, so again I wouldn't recommend it.