I like working on pen & paper specially when I'm pairing with someone. Using an A3 (or a notebook) while you doodle lets you see not only the ideas that were selected, but also the scrapped ones — and the decisions made along the way.

It's also a great way to flesh out concept and copy for a design: just dump every word and phrase that comes to mind until solid copy starts to form. Having a thesaurus with you makes for a killer combo.

In the end it's more personal choice and your environment (i.e. working locally makes it much more viable) than anything else, though. But I do have an iPad and never really got into sketching with it.