I have used the 'original' Moleskine for years. It's the small one with lined paper, a pocket in the back, rubber band, placeholder etc.
One thing that has not been mentioned about this rather expensive notebook is that it is in fact a 'book' - take a look at the design - it's similar to a hardback book. You don't want to be pulling pages out of this, it's more of a permanent record.
Things I like about it:
Very solid - lasts for months in pockets, bags, etc.
Rubber band keeps it closed
Back pocket very useful as portable in-box
Hard cover makes it easy to write in while holding it.
Just about a perfect size for carrying with me day-in, day-out
The price - $11 plus tax, is rather high, but I only get through well less than two per year.
The other book I rely on a lot is from http://www.blacknred.com/ - the hard cover A4 size is wonderful and is amazingly well made and lasts forever. I use this for more lengthy note taking at work and when I have my bag etc. with me. Office Depot has this notebook for under $10.
Note that the downside of my approach is that I tend to rely on the
"it's in there somewhere" approach to managing things - it provides a nice record of notes you've made going forward and as you look back through the pages you are going back in time. So it's easy to get sloppy and not use the GTD methodology correctly.