Paper notebook. I wouldn’t recommend loose sheets of paper. :) After 15 years of writing notes on loose sheets I would start differently :)
Go Tim Ferris way - notebook where the first page is left for the table of contents, and number all even-numbered pages as first step.
My thoughts are so all over the place that I've settled on 3x5 note cards. It also makes the transition to the computer much easier, because I can re-arrange them in a way that is somewhat organized before taking a picture that gets transcribed