I've found that it's really useful for me to write down my thoughts. In the past I assumed that I would remember any worthwhile ideas, but I've found that's not the case at all.

When I'm not at my computer, I use iPhone Notes (about to switch to Simplenote) for short notes and a small notebook if possible when I want to do serious brainstorming. When I'm at my computer I usually use a personal MoinMoin wiki (MoinX). For todo lists I use Things on my iPhone and laptop.