We made our own cat fence using 14 inch shelving brackets and garden mesh from Lowes. We have a 6 foot wooden fence around our back yard and we took 30 inch pieces of mesh cut to managable lengths and attached to the top cross rail that holds the fence together and then folded it back over the top of the fence, then we put up the brackets and flipped the mesh back over the bracket and zip tied everything in place to the bracket and the pieces of mesh together, it forms a barrier that when the cat climbs the fence it is under the mesh barrier and they cant get out. My friend told me about this and it really works! Its not that pretty but it really works well and doesnt cost a lot to do. Recently I found a site called Kittyklips.com and they use 4 inch pvc pipe and cut a 1 inch slit and put it on top of the fence and the cats cant get a grip on the top of the fence and cant get out. They have several different ways to put it on the fencing if you look on their site.
Unless the yard is completly enclosed - most cats are going to be able to climb or jump a fence. If you're concerned about your cat escaping- i would highly recommend you keep your kitties indoors only and take it outside on a harness and leash for walks if you'd like your kitty to have some fresh air. Otherwise- you may want to look into investing in a kitty enclosure that's entirely fenced in.
We have something like this: http://www.catfence.com/pictures.htm
It works quite well, except where we've got a couple of trees, but our installer will come back and fix it until it totally keeps the cats in.
There are lots of fences out there that will keep your cat safely in your yard. I added on my own http://www.feralcat.com/fence.html. Much cheaper than buying a premade kit but requires a little more effort.