I've had alot of success with just a whiteboard and Visio (or open office draw when I don't have Visio).
I use Visio to draw out state diagrams, object relationship models, database designs. I usually just detail out the high level objects and their relationships to child objects using the "Has A" and "Is A" labels. I find that these types of diagrams help me in designing a flexible model that can be easily translated to objects and interfaces.
The whiteboard is the perfect tool for getting your thoughts down on "paper" (per se), but it also allows for quick erasures because designs can change in a heartbeat. I would LOVE to work in an office with a smartboard (printable whiteboard) but they're very expensive and our company just can't afford it so we resort to taking pictures of the whiteboard and printing out the results.