I use BeerSmith for the recipe and the number calcs, but I have a template to write down key #s as I brew. Both the BeerSmith sheet and my template sheet with notes goes in a binder with sheet protectors.
I track factors around my mash: Strike volume, strike temp, resultant temp, did I add more water, the temp of extra water, temp post mash. I batch sparge so I like to monitor the gravity and volume of the first runnings, then again for the second runnings. I calculate the water lost to absorption. I record starting kettle volume and gravity. calculate efficiency.
Post boil I record the final volume and the gravity. I calculate the boil off rate.
[I also try and capture the daily temp and a rough estimate about humidity (high, med, low). This stuff is important to figuring boil off rate and strike temps season to season.]
You can be as anal as you want or as lax as you want. It really doesn't matter. But if you want to be focused on consisitancy and repeatability in the same recipe time after time you brew it, great notes are the only thing that's going to get you there.
If you are a brew that has never brewed the same recipe more than once in a year (which is most brewers probably) then notes aren't all that valuable.