I keep a few different sketchbooks and am pretty loyal to this practice. Each of them have a specific purpose. Some are more important than others, especially the ones where I record both images and words. This teaches me how to become objective about my own work and keeps me tapped into my raw feelings. With these, I try to use a Fisher Space Pen and never erase.
I also have a bedside moleskin sketchbook. I take it with me everywhere I go. The space pen allows me to write upside down while I'm in bed to record my weird, dreamy ideas that don't make much sense. This book is a bit more free for ideas or for anything creative in general: characters, funny animals, to-do lists, notes, or just whatever.
I keep two other "sketchbooks," which are not on regular upkeep. Sometimes I'll just use loose paper or scraps, like post-its, envelopes. or cards. And then there's my faithful Journal Project that's ongoing, spontaneous, and forever.