1. A paper notebook. I don't often actually refer back to it, but just the process of sketching things out seems to make them stick. More importantly, once written down, my subconscious starts working on another idea.

2. Poor solution, but I email myself notes a lot. Usually from my phone, then I drop them into a folder in Outlook when I get back to my desk.

3. OneNote, for more long term collections. Microsoft did an amazing job with this product.