I've been using 3M Temflex for about 5 years and am well pleased with it. It is self-fusing rubber electrical tape. While its rating is only 600 volts, it is far more than adequate for weatherproofing connectors.
Lowes carries it:
http://www.lowes.com/pd_78453-98-215...ductId=3129711 $2.29 for a 3/4" x 22' roll.
I use it the same way as John uses the tape he described (put it on the connection and cover with standard electrical tape). I usually follow up with a coating of liquid electrical tape just to make sure there is no possibility of water intruision; it also helps in making sure that the ends of the tape stay down in windy conditions.
I've taken apart connections that were 4-5 years old and they looked just like the day they were first made.
Doug
K4AC