I have used pen, paper, computer, PDA, etc., to capture my thoughts as they have popped up but nothing can beat a digital voice recorder in pre-capturing a thought. When I use the word 'pre-capture' I mean the words will be finally transcribed on to paper and be thrown into the in-basket for later processing. But the voice recorder is an indispensable tool for capturing thoughts on the fly, esp. when you are exercising (believe me I get brilliant ideas while exercising!), driving, etc., etc.
Another aside: please use voice recorders with 20-30 mins or less of recording time. The 8 hr or 4 hr recorders are a sheer waste of money (can you imagine sitting and trying to transcribe 8 hrs of talking - not unless you are a reporter). Another important reason is that when you accidentally switch on the record or play mode the battery doesn't drain itself as the play time is max of 20 mins.
So please consider the 'pre-capture tool' for stress-free productivity.
PS: I use Olympus VN-900 Digital Voice Recorder