Check out UI Stencils’ new product: an iPad dry erase board. I’ve used their sketch pads and stencils, which help my inner-child fears of drawing with just a pencil and a blank page. I like the dry erase idea specifically for ease of collaboration in design sessions, as well as for quickly vetting through concepts while brainstorming solo.
Though you can’t keep a copy like you do paper, I’ve found it pretty helpful to just take a picture of a board drawing and save it in my files (insert into pages of your design project in Visio/Axure/etc for quick reference).
UI Stencils also sells iPad, iPhone, and Android stencil kits, as well as basic Website stencils. The stencil won’t work so well with the dry erase board though, because the stencil shapes are pretty small and require a finer-tipped writing instrument. See all of UI Stencil’s products, and for the record I don’t have any stake in these products; I just like them.