I've had good results from engraving granite floor/countertop tiles. Black polished ones come out with the best contrast. I've made a number of very nice coasters and clocks this way. It takes some experimentation to dial in settings, but worth it once you do.
There are also purpose made sign making materials all over the 'net- check out
http://www.johnsonplastics.com/engraving.html . The basic idea is that there is a colored base plastic with a very thin laminate plastic that is burned away to reveal the base. There are a lot of color/texture options available. With a fixture and a software template it's really easy to start making name tags and the like with this stuff.
I miss having access to an engraver- they're a ton of fun! The more you play with it, the more ideas you'll have for how to use it.