When it comes to diagrams, though, nothing beats pen and paper. I have long given up any hope of finding them later, though - all but the most important diagrams are destined for the recycling bin from the get-go. That's an approach I picked up from the 37signals blog or one of their presentations somewhere, and I highly recommend it. I no longer worry about making it legible or easy to understand, I just dump my ideas onto the page. For extremely important diagrams, I suppose I could then scan it before throwing the hard copy away, but I can't remember ever doing that. In the context of web development, sketched diagrams have always been a short term intermediate step for me - my code may not be as clear or well-documented as it should be (I try!) but it's still more obvious and less hassle than my chicken-scratch diagrams.
EDIT: just in case i wasn't clear for those who don't know what a moleskin notebook is... it is rather hard to lose an individual piece of paper from one.
When I want to schedule or prioritise tasks or when I have lots of hashing out to do in my head prior to entering data into a more structured online task management system I use a whiteboard and index cards: