This article is from the Problem Behaviors in Cats FAQ, posted to rec.pets.cats newsgroup. Maintained by Cindy Tittle Moore with numerous contributions by others.
If possible, use tension rods instead of drilled into the wall rods. The tension rods will simply fall down on top of the cat if it tries to climb them. Otherwise, take the drapes off the hooks and thread them back up with thread just barely strong enough to hold them up. When the cat climbs up, the drapes will fall down on it (be sure that the hooks aren't around to potentially injure the cat). After the drapes have remained up for some time, re-hook them. These methods have the advantage of working whether you're home or not.
Vertical blinds can work very well; cats cannot climb up them, cannot shred them, cannot shed on them, cannot be bent the way horizontal blinds. It is furthermore easy for cats to push them aside to look outside. Vertical blinds are usually vertical strips of plastic, but they can also come covered with different fabrics to match your decor. These kinds are still pretty indestructible.