Hipster PDA. Basically, simple index cards with one per context (and one for Waiting).
You might also want to have a look through the 43 Folders archive: it's full of interesting and useful stuff, and is just geeky cool.
Basically, the lists have to be in a form that suits you, which is why I like the index cards. If you don't carry a briefcase, then you want something that's pocketable.
Some projects are really short, and for the longer ones, I keep a sheet of paper outlining what has to be done: not exactly NAs, but a guide for me. Something like a mud map.
And because I'm looking at the NAs every day, and the Projects list daily as well, I have no trouble knowing which NA belongs to which project. It keeps me aware of where I am with everything. The weekly review helps a lot there too.