Most writers keep some kind of notebook. Personally, I always carry a small Moleskine notebook wherever I go and fill it with all kinds of stuff that may or may not be of use one day. It has observations of things I want to remember, snippets of dialogue I overhear, bits of dialogue that pop into my head. I might come up with a solution to some problem in a book I am working on and I scribble it down before I forget it (which these days is about thirty seconds later). There are diary entries and jokes for my strip. There are phone numbers and titles of books and bands that friends have recommended.
I remember seeing a documentary a while back that said that Beethoven used to carry a notebook wherever he went and he made sound sketches of waterfalls or wind in the trees, using musical notation. I love that idea.
Yet still I do not use my notebook as much as I should. I tend to forget how bad my memory is. The observations are the most valuable, I think - and they are the things you are most likely to forget. I had certainly forgotten this - the entry on the first page of my last notebook: Wino in Norwich wearing huge headphones and singing 'Tragedy' by the Bee Gees in an out of tune falsetto.