One of my favorite techniques when photographing dancers is to use a camera flash in conjunction with a long exposure. The result is an image similar to a double exposure where one of the pictures is blurred and the other one is sharp (from the flash).
I photographed some Turkish dancers using this flash photography technique and liked the results. My shutter speed was 1/6th of a second.
Note: In his online photography class, "Taking the Mystery Out of Flash Photography", Jim Zuckerman covers flash photography settings and creative flash techniques. Also see other BetterPhoto online photo workshops such as Paul Gero's Mastering Your Canon Flash and Rob Sheppard's Creative Flash Photography.