I can read something on screen ten times and not have it make any impression. Paper is much better for me personally.
And interestingly, it's specifically handwritten notes in pen. When I use a pencil it's much more like just typing them out.
I had long thought that this is because I'm old enough that for a huge portion of my life, most of my reading was on paper and people a generation or two younger than my wouldn't see the same disparity. This paper, however, seems to indicate that this may not be the whole story.
My colleague swears by her iPad, but I always go the paper route.