I agree with some of the other comments posted. Paper and pen - I carry a moleskin/stack of index cards on me all the time. Anytime I get a thought that I need to record, I use one of the those (the index cards are for throw away stuff, like things to do, shopping lists etc). Ideas, go in the moleskine (this can include pretty much anything like a good startup idea, a web app, a topic for blogging etc).

Once every few days/weeks, I go through the moleskine and review. If there's anything worth recording, I put that in a mind-map.

Agreed its not a comprehensive system, but like LogicHoleFlaw says, I am still waiting for that one combination of software/hardware that I can use. Someday. Sigh.