I used to call mine 'the pillar of pain' when I first got it. But after you've done it a couple times, you can put all your weight on your ITB for a really good stretch.

The white rollers (the ones that say "Foam Roller" in the above Amazon link) are generally softer, especially after you've been using them for a few weeks.
The black ones ('high density' or 'extra firm' in the Amazon link) are downright painful at first, but after you've been doing it for a few weeks, it still feels pretty good before and especially after a good ride.

THEN I discovered how great they are for your hip-flexors! My hip-flexors used to tighten up when I tried to maintain fluid, 360-degree pedaling for more than 20 minutes, but using the edge of these rollers to hit my hip-flexors took care of that too.