I have a rubber brush that I use to gather hair into the dust pan. You can find one at Bath and Body works with the pet items, and there are other home stores that have them, I think target and walmart may have them. I would google "rubber pet hair remover brush".
Yes, I've had a lot of luck with one of those brushes with the rubber bristles, like princessangel mentioned. I usually brush all the hair off using the brush and then go over it really well with a sticky lint brush to make sure I got all the smaller fur as well.
The rubber bristle brush works for hay remnants on the fleece as well.