Personally, it helps me relax if write I down everything that's on my mind at the end of the coding session.
I have found it frees me from thinking further about the project, and it also helps me achieve better productivity since I can pretty much recover my previous thought process when I start my next session.
I've heard other successful people do this to, not in writing but just mentally going through the day and assessing how good/bad the events of the day went. It gives closure and makes it easier to drop them from the conscious mind. This was also what the methodology in Getting Things Done was mostly about.