There are many parts to a conceptual design. Depending on which part you focus on a variety of tools are out there.
As with most computer things, Capturing it is easy, filing it away so you can find it later is critical. You won't use all of these tools 100% of the time, but they all need to flow to one central spot.
For me that is Fogbugz because it's simple, works, has a wiki and forum built in and I can do some basic workflow management.
Building a system that files things at the point of capture without having to process it many times (create it, then process it, and then file it so you can find it later) will save you a ton of time.
CREATE:
Tabloid size graphing paper (never run out of space)
Balsamiq Mockups with xwiki (keep your mockups evolving and tracked easily in the wiki with each revision)
OmniGraffle / Visio (Flowcharts, graphs, etc.)
Whiteboard. I have one big whiteboard right now. I'm getting ready to purchase the superb WallTalker product. It doubles as a projector screen, can come pre-printed with a grid on it like graphing paper, about $27/linear foot for a 60" roll. $300 for 13' feet of writing space!
CAPTURE:
Fogbugz for tracking as much as I can. The key part is being able to email myself anything and everything. Free hosted editions for 2 users online. Integrates directly with Apache Subversion, etc.
Phone camera for whiteboard I use my cell phone and send it straight as an email into Fogbugz, making sure to put some notes in the subject and email of what it's about so I can find or link it together later. I know regular cameras take better photos, but do we really sync our cameras more, or our phones? I've had good success with an iPhone and my current HTC.
Skitch - Excellent for taking a screenshot and doodling on it. Can be done with images, screen renders, etc. Especially helpful when sending clients a screen to point out certain things. A comparable windows product would be Snag-It, etc.
Email everything - email yourself everything to Fogbugz. From your phone, from your software, from your servers, from your friends with ideas.
Fax - get a fax to email setup and send all faxes to Fogbugz. Aren't near a scanner, fax it to yourself, throw away the paper. You'll find it later if you really need it, and if not, you aren't letting paper distract you. When someone wants to send you paper, if there's no PDF file, voila.
ARCHIVING:
- Neatreceipts scanner - scan to a PDF file and send to Fogbugz. Throw away the paper. How much old design drafts do you have that you don't want to throw away but seem to pile up? Both Mac and PC versions exist.