I prefer to pull out a pack of 3 x 5 index cards and a Sharpie.
There is nothing like index cards for quickly laying out the components of a system, a workflow, and taking down user story ideas. In a matter of minutes of moving them around the table playing with various relationships and connections, creating new cards for entities, processes, data stores, etc. as needed, ripping up cards as redundencies are found, the whole team is engaged, no business team members are put off by complexity of the tool (in fact, if anything they are welcomed by the simplicity), and I can then take my findings back to my desk to create a working Visio if I like.
Index cards on a white board with magnets work too. There's just simply no substitute that's as fast, simple, cheap, and effective.
Add my vote to Jason's on the Paper vs. Screen debate.

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