All of my ideas come to me when I'm about ten minutes from sleep; I'm usually in bed, in total darkness, and too tired and/or too damn lazy to seek out any way to put them down.  I've lost a lot of ideas that way.

I invested in a tape recorder. They work phenomenally. You can get one cheap for about ten bucks, and they are completely worth it. When I'm writing, I need one with me at all times. I've got the worst memory that some climactic sentence or witty phrase will always slam the door on me about fifteen seconds after I've found it. My recorder's saved my butt more times than I can remember. Literally.