I'm lazy, so I keep actions on index cards (one action per card) and then organize them by context. Sure, I have a fat, environmentally wasteful wad of cards, but it's really easy to shuffle through, rearrange, purge, etc, so that I don't have to rewrite a bunch of lists.

Best features: 1) being able to write down relevant info (phone #, email address, etc.) directly on the action card; 2) using the card to take notes while executing the action (I can then dump the completed card into my inbox for processing, which prompts me to think of the next action associated with the project); 3) ease of revision (if something else needs to be done first, I can reframe the action on the same card; or conversely, if the action doesn't complete the open loop, I can write the next action on the same card).

Worst features: 1) risk of losing individual cards; 2) looking like a complete geek when I pull out and fumble through a stack of index cards.