For several years, I used index cards extensively to track my to-do list and capture notes on the go, inspired by Merlin Mann's "Hipster PDA"[0].
The flaw in my system turned out to be that there was just no convenient way to carry the cards around in my jeans pocket. They always wound up getting bent or wrinkled, and I couldn't find a way to keep the cards together that was both pocket-friendly (a binder clip isn't; it pokes and scratches) and quick-releasing (undoing e.g. a rubber band is just too much work for a quick note).
If anyone's still using a hipster PDA I'd be curious to hear what your physical system looks like and how you carry it with you.
[0] http://www.43folders.com/2004/09/03/introducing-the-hipster-...