The food, the room, the occasion, the weather. "How do you know our host?" "What brings you to this event?" But keep it on the positive side! Unless you can be hilariously funny, the first time you come in contact with a person isn't a good time to complain.
A friend scans Google News right before he goes anywhere where he needs to make small talk, so he can say, "Did you hear that Justice Souter is stepping down from the bench?" or whatever might be happening.
"What's keeping you busy these days?" This is a good question if you're talking to a person who doesn't have an office job. It's also helpful because it allows people to choose their focus (work, volunteer, family, hobby)—preferable to the inevitable question (well, inevitable at least in New York City): "What do you do?"
A variant: "What are you working on these days?" This is a useful dodge if you ought to know what the person does for a living, but can't remember.
For example, if you ask, "Where are you from?" an interesting follow-up question might be, "What would your life be like if you still lived there?" If you ask, "Do you have children?" you might ask, "How are you a different kind of parent from your own parents?" or "Have you decided to do anything very differently from the way you were raised?"
"What newspapers and magazines do you subscribe to? What internet sites do you visit regularly?" These questions often reveal a hidden passion, which can make for great conversation.
If he makes a joke, even if it's not very funny, try to laugh. If she offers some surprising information ("Did you know that one out of every seven books sold last year was written by Stephanie Meyer?"), react with surprise. Recently, I've had a few conversations where the person I was talking to just never reacted to what I said. I was trying to be all insightful and interesting, and these two people reacted as though everything I said was completely obvious and dull. It was unsatisfying.
Now, what to do if a conversation is just not working, and there's no way to use the "Excuse me, I need to go get something to drink" line? Recently, at a dinner party, the guy sitting on my right side was clearly very bored by me. He explained to me at length about how happiness didn't really exist, but after setting me straight on that subject didn't want to talk about it anymore, and after a few failed attempts at other topics, after an awkward pause in the conversation (my fault as much as his), he said, "Um, so where are you from?" It was such a listless, uninspired effort that I leaned over, put my hand on his arm, and said meanly, "Now, Paul, surely we can do better than that!" and changed the conversation.
So what can you do when the conversation is such a struggle?
"We're really working hard, aren't we?" or "It's frustrating—I'm sure we have interests in common, but we're having a difficult time finding them." Clearly this is a desperate measure, but a friend of mine insists that it works. I've never had the gumption to try it, I have to admit.