I use Orthene, as it is a systemic and will be absorbed by the plant to help protect for a longer period of time. I have also used Sevin and Diazanon and Malathion, all of which have done miracles for me. My dad keeps the three just mentioned so I have an easy source, but all of these can be found at Lowes, Walmart, Home Depot, local garden shops, etc.
Edit: I've seen a lot of people using the "dunking" method in which they just submerge the infested plant in whatever water they use to water the plant. It seems that 48-72 hrs underwater usually does the trick. Just look at the center of the plant and the new growth, if there are lots of aphids left; dunk it longer. I have not personally used the method, but it seems to work for those who do not have an insecticide readily available.