Collecting thoughts when you have them is a key part of the GTD process and there are many articles out there about capture tools. I recently read a blog post by Andrew Marvin on the subject on his website andrewmarvin.net. It's a great round-up of apps for i-phone as well as "old school" pen and paper.
I have just been lucky enough to win a David Allen Company Notetaker Wallet so will be testing this out as my capture tool for the next few weeks. The pen geek in me is already impressed with the pen which has a funky telescopic mechanism! I'll be sure to report back on how it performs...