OmniGraffle and Balsamiq are great for higher fidelity prototyping, but I find that the precision it allows and the care I end up taking pushing my mouse gets in the way of getting ideas down.

I usually stick to a fat pen and paper or whiteboard. When I'm done, I scan each page or take photos of sections of the whiteboard and then load them up as a presentation in Google Docs (easy to share with partners).

No losing papers or accidental erasures there!