Update 2015-09-09: PocketMod-URL
For capturing tasks or information when I am away from my computers, I carry a Hipster PDA. It's just a plain A4 paper folded three times so that it measures approximately 7.5mm times 11.5mm. I use four sides of it until I scan the old one and create a new one.
I write down the current date and a horizontal line whenever I write something on it and a checkmark at the beginning of each line.
Simple, cheap, and it gets the job done very well.
Either I resolve tasks on it directly and cross out the checkmark or I move the task to my Org-mode and cross out the checkmark. Just to be sure that everything gets done in time, I've got a recurring "check Hipster PDA"-task in Org-mode. You might as well be interested in my blog posts where I describe how I am using Org-mode (or some videos).
In terms of pens I recommend Fisher Space Pen Bullet since they write independent of their position in your pocket. Other pens tend to refuse to write instantly whenever they were upside down for too long.
If a plain paper is not enough for you, you should check out http://PocketMod.com which is a very cool locking interactive service to produce an enhanced hipster PDA.