Rain chains are an alternative to downspouts on your home's raingutter system. They direct the water in a similar fashion, but never clog or need maintained. They still work, even when frozen. Plus, they are pretty cute!
Purchasing pre-made is too costly, so here are some links on ways/ideas to make your own:
By them at Target if you don't want to DIY
Here are some pics of the ones I like best:
Rain Chain FAQ