I do most of my mockups on pen and paper. I can draw quicker than I can use a mouse. I can scratch things out, jot down notes anywhere around a mocked up screen. And information transfer is faster (for me). To each their own, though. That method works for me, but I know folks who just mock it all up in Photoshop.

In the facebook movie mark zuckenberg used pen and paper, I think. Pretty crazy.