This entomologist wrote a thorough article on fighting cockroaches. To summarize: boric acid is the most effective and least dangerous technique.
The key to success with boric acid is proper application. For best results, the powder should be applied in a very thin layer barely visible to the naked eye. Piles or heavy accumulations will be avoided by foraging cockroaches much as we would avoid walking through a snow drift. To apply a fine layer, shake the container and puff a small quantity of the powder into the target area. Manufacturers of boric acid often fill their containers too full of powder — by using a container which is no more than two-thirds full, an airspace is created at the top which allows the dust to be puffed more easily (A few pennies or pebbles placed inside the container helps prevent the powder from caking). The trick is to give the container a shake, then puff a very light dusting of the powder into the area you wish to treat.
Update: Nix the boric acid idea. It really gets into your sinuses and gave me headaches, even though I didn’t sprinkle a lot. It may be nonlethal, but it’s still toxic, man.
Here’s another article by an entomologist.