I don't know if people that practice other martial arts have this problem, but I know people that practice BJJ have this problem a lot. I guess it is because of all the friction, but no one can seem to keep their belt on. It's like the belts are "doing more escapes than I am". I have heard instructors talking about "the Hollywood knot", which is supposed to stay on. I have looked everywhere, but I can't find how to tie it this way. Can anybody find a way to tie a BJJ belt so that it both stays on and doesn't get in the way of training? Try to find either an illustrated web page or a video.
EDIT: I have been using some of the ones in the answers. They all work great, but I still have to re-tie my belt after each time I roll.