Like a gun and a good holster, a proper sheath is essential for every fixed blade knife. A knife and a sheath compose a system; the knife does the cutting, while the sheath keeps the knife secure, while making it accessible and readily available at all times. A good sheath adds greatly to any knife, but a piece of crap sheath can make an otherwise good knife frustrating to use.
I've had great experiences with quality kydex sheaths--not cheap zytel, but real kydex. Theyhold the knife securely while being fast on the draw, and easy to re-sheath. A good mounting option--tek-loks where possible--is a must have as well.
As mentioned, I've had some good sheaths from On/Scene. I also have a Ka-Bar TDI in an In-Fight Access kydex sheath as part of my EDC, which is an awesome combination. In Fight Access Kydex has a fairly small selection of "stock" sheaths that they do--mostly geared around small, fast access self defense blades. However, they also do custom work as well, so don't let the limited choices of the online store discourage you--if you can part with your blade for a few weeks while they do a custom fitting.
Prices from either vendor are very reasonable for the custom, high-quality work that you receive.