Here's my system for that:

I always carry an LTE-connected smartphone capable of gesture typing, so I'm able to quickly write down anything whenever and wherever it occurs to me, be it in a park, in a forest, at work, on a toilet etc. (My personal preference is a high-end big-screen phone with a stock Android (currently Nexus 5), but as of September 17 2014, you can use iOS 8 with a custom keyboard).

I use several mobile apps intended for capturing different kinds of thoughts: Wunderlist, Trello, Google Docs. I prefer these apps because they all sync to the cloud, which means that 1) I can access the content on any platform, and 2) that the phone is essentially disposable and I won't lose my notes when it gets lost or stolen.

Here's how I capture thoughts:

1. If the thought is actionable, it goes to Wunderlist (a classic todo list app which I hate but alas, I can't seem to find a better alternative).

2. If the thought is related to an ongoing project, it goes into an appropriate Google Doc or the Trello board of that project. If the thought is large enough, it may warrant the creation of its own Google Doc.

3. If the thought is related to self-improvement / self-discovery, it goes to a Trello board dedicated specifically to that.