Sure, you could pay $44.95 for a silicon rolling pin. It's probably even worth it if you bake a lot. But for the broke or occasional baker, you can imitate the non-stick aspect with a simple modification.
Step 1: Requirements:
All you need is a $5 wooden rolling pin (or whatever sticky pin you have kicking around your kitchen) and a $2 pack of nylons. NOTE: You'll need sheer or semi-sheer nylons for this (10 - 20 denier), otherwise the dough might stick. This is also a good way to reuse nylons with a run in one leg!
Step 2: Measure and Cut
Stretch out one leg of your nylons so the toe end lines up with one of the handles. Snip it just a bit past the other handle, giving you some extra room to work with.
Step 3: Tie and Cut
Tie off one end - make sure it's nice and tight so you don't have loose material rolling around getting in the way. Then cut off any extra fringe on the end.
Step 4: Roll!
Now, roll your dough to your heart's content. The material will twist a bit and mean you have to take kind of short strokes, and it lacks the ball bearings of the $44.95 version. But you WILL have a rolling pin that repels dough and keeps it flat, which is what really matters. After you're through you can cut off the nylon and throw it away, or if you're not fussy just go ahead and wash it (by hand, I'm sure; dishwashers can't be good for nylon), reusing it until it gets holes in it.