A lot depends on what you are comfortable using. I was already using a palm when I caught the GTD bug four years ago so it was a no brainer for me. I see very little out there that rivals a good old palm and the palm desktop.
I recommend that you downlaod David Allen's free article on setting up a palm and his free article on setting up a paper system. They are very helpful.
My generic answer would be to start with a simple paper system - and go from there. But that's just my perspective - and I should point out that I don't need an integrated, on the go email system, so that's not a factor for me.