I have loads and loads of papers in a dog-eared pile, a big ol' file folder on my computer filled with quotes, maps, character doodles, sketches, plot ideas and so forth, and dozens of thoughts running amok in the ol' noggin'.
I generally like my papers the most, 'tho- it's easy to have visual aids of characters, sketches of places and whatnot, and when I look on a character design, I instantly recall what sort of plot twists and general info I have planned for that particular character. It's also good for a nostalgia trip- dating some of my drawings and stuff as old as 2006, heh.
I generally don't keep anything on my phone. It's from the time of myth and legend, only barely being pocket sized, and has only room for five notes at any given time.