Usually just hair spray... but lots and lots and lots and lots of it.
The mistake most students make is that they don't put enough hair spray in. This, in spite of the fact that they may have used twice as much as they're used to. The best thing you can do is pay a professional to do your hair the first few times. After that, if you're resourceful enough to try it on your own, you'll have had the exposure to the proper technique for applying.
Now by "professional", I'm referring to a professional ballroom hair stylist. There's usually one or two at every competition. If you go to your regular hair stylist, there's no guarantee that he or she will know what's required for a dance competition.
Regards,
Jonathan Atkinson
www.ballroomdancers.com