If i'm going somewhere just for the purpose of getting specific things then i used to write them down and throw the paper in my pocket or purse.... I always lost them before i got to where I was going. =] So i started keeping notes in my phone, the only thing i won't lose.
I have a mental list and always remember the most important things I need to do without writing them down. The less important items are on sticky notes all over the place (purse, fridge, laptop, on textbooks, nightstand, etc).
Since I was 14 or 15, and not just for remembering, but also for having an material support of my thoughts. I have to-do lists, shopping lists (for a few years in advance), daily, weekly, monthly, and yearly schedules for everything I do. I use gantt system, and work with categories. I even keep a journal, which helps me to see the big picture, to integrate all what I want to do in a progressive and systematic process.
I used to think I could manage without but my workload is so diverse nowadays I need it so I can prioritize my tasks and schedule them accordingly. I'll get so into my work at times that I'll forget other things without it.
Gantt is cool but network diagrams help me visualize it better. The nature of the things I do also make Gantt charts hard to predict time for. It's mostly problem solving as the actual work itself doesn't take very long at all.
I also have a mental to-do list for daily things that aren't so intricate. However, I do forget things from that one.