The "Little Nipper" is your friend. Getting hard to get nowadays though.
We have one or two in our house every so often as we live next to fields and I can vouch for the fact that nothing works better than a peanut butter loaded Little Nipper. Last time I tried one of those sticky traps, not nice, I chased the poor little bugger round the corner where it ran straight onto the trap and just stuck there squeaking until I ended it with a piece of wood.
The only problem I have ever had with the Little Nips is that once it caught the mouse just by the nose and it didn't die. I had to then cut off its head with a wood chisel and a hammer. Again, not the most pleasant task at 4am when you've just got up for a pee.