I haven't been on a cruise yet (I'm booked on the Conquest 17 Aug 2008 ). I have read quite a number of posts here and in another cruise forum. One of the things I learned was that the doors are not metal, at least on most ships. There goes the magnets idea. I plan to bring some window appliques, the cling/peal-off ones. If they don't stick, there's always tape.
I've also read about people who make a poster and tape it up. Or use the suction hooks to hang something, such as a dry-erase board on their door or even a pad of paper and a pen so passer-by can leave them a message (or crude comment
I have also read that sometimes the items get stolen or moved by practical jokers or mean-spirited kids. Always check the room number before you try to get in your cabin, just in case some joker moved your sign to your neighbors door.