Bar Mills makes the best looking sidewalks I've seen in both HO and N scale. I wish I would have know about them before I laid all my styrene sidewalks because it's a lot easier to work with. You can find it at http://www.walthers.com/exec/productinfo/171-681
I use sheets of styrene for HO sidewalks and curbs. I mark them with plain old pencil. I'd use a thinner sheet for N-gauge. I think mine is .030.
This needs a bit of glue to hold it back down...
In city scenes, I take a sheet of styrene and notch it out so that the building and the styrene sit on the same level, and the top of the sidewalk is above the base of the structure. This gives a more "built-in" look, and also reduces light leakage if you illuminate the buildings.
It takes an iron man to play with a toy iron horse.
You can make tons of great looking streets and sidewalks dirt cheap by following this (yes, it's N scale!).
http://www.telusplanet.net/public/crowley/ashphalt_roads.htm