Reading the comments on here and reddit, it seems to me there are two different motivations: getting thoughts on paper vs. having a trail for future reference. Pen and paper is great for the former, which is my primary motivation.
I highly recommend you try the paper approach at least for a week to see if it helps you. Its is a hassle switching gears from keyboard to pencil, but it helps a lot. I did try various programs, but it never felt personal enough for me. Maybe its just me.