On the web and in apps where interaction is design, and prototyping is the design process, designing in the browser is the only way to go. In other words, in the world of apps (web and mobile) Photoshop is about branding, not so much about design.

That's why I go from rough paper sketches straight to the browser.

Some have said the browser approach is limiting or that it makes you "think in boxes." One could easily say the inverse: you can't design for interaction or make apps in a static medium. Interaction is present when designing in the browser, and gives you a fuller picture of your project.

In the context of designing static websites and that kind of thing Photoshop seems to work fine for many people, but when we're talking about apps I'm curious why people even bother?

Another reason I design in the browser is that I never really learned to use Photoshop and Illustrator - I learned design in the browser by looking at the source code for websites I liked and tinkering with them. Similarly, working in the browser also makes you a much better coder, just as sketching a lot makes you a better sketcher.