Companies like Carradice in England make cycling specific capes but I found a light nylon one (poncho) at Ikea that works really well. I wrap the leading edge under my hands on the bars and put the hood under the helmet so it doesn't billow out.
What I like about it is that the cape keeps rain off the legs without wearing rain pants, but of course having decent fenders, and it folds down small and light to fit in my handlebar bag.