I'd always used paper & pencil, but the big problem with that was that my TODO list would get long & intimidating and I'd rather just ignore it. This keeps things manageable for me.

Also, I find it useful for those long-term backburnered tasks that I work on when I've got nothing else to do, but aren't immediately relevant to whatever I'm doing now. If I tried keeping those by paper & pencil, I'd end up losing the list by the time I got around to them.