CO2 works really well and is my preferred choice. I go to university and so just get a little chunk of dry ice from the science labs, then put the mouse in with the ice for 20-30 seconds; the gas puts the mouse right to sleep (the way I'd prefer to die, rather than slow freezing or snapped spine or THUNK). Just be careful to take the mouse out as soon as it stops moving, so it doesn't get too cold.
I have been feeding my BRB this way since I got him three months ago and it works beautifully. Also it's the least "hands on" which is good for a squeamish girl like me!

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