As Prof Loni indicated, Pt is one of the most stable conductive materials in hydrofluoric acid solutions. Whilst the initial cost is quite high, this is offset by the material's durability and flexibility - I have been using the same electrode for the past 6 years now so if they are treated with care then the electrode will last a long time. A simple length of Pt wire bent into an evenly spaced zig-zag path or circular ring is quite sufficient for most applications.
Also, you need to take care with your cell design to ensure that the electrode is a consistent distance from your etched surface (to prevent electric field strength differences creating inconsistencies across your etched area), and to ensure that the evolved H2 gas can escape.
The attached link is a good review (a little old now) on the formation of pSi. It includes a good discussion on cell and electrode design.