Depends on the game. Generally: just a legal pad or a notebook, though I've typed up notes before on occasion.
For Call of Cthulhu, the legal pad is pretty much it, though I'll print out character sheets for NPCs if it's super important. If there are props and handouts and stuff, I'll have those prepped, too.
For Pathfinder, I almost always print out stat sheets for monsters and enemy NPCs. But lately, I've preferred to use my hand little netbook for it, with the stat pages from
d20pfsrd.com pulled up (since it has spells and spell-likes hyperlinked; Yay, OGL!).
One thing I do try to do is to save everything from every game in a filing box, in case I ever want to reuse it or just look through old stuff to kindle some ideas. And any digital documents that I create get saved in my Dropbox.
One more thing I will recommend: if you're playing over the internet, set up a shared Dropbox or Google Drive folder that all of the players can access and add to, so that you can easily share any handouts, character sheets, equipment lists, notes, etc.
