There is really no reason to take notes for anything from the PS2 generation on. Modern games are very easy, and most have in-game maps and such.

The most modern game for which I found myself taking notes was Wind Waker. I made a map and kept track of the islands I had visited, items, townsfolk hints, etc. I don't think I would have enjoyed the game as much if I hadn't kept notes. I also made extensive notes when in my most recent play-through of Final Fantasy VII.

I currently have a notebook which I use to keep notes for my NES gaming. I think it is critical for that generation of games if you don't plan on referencing the internet. I am a strictly anti-faq guy, so I go bareback and have to make my own notes. Most recent games are Mega Man, Dragon Warrior, and Crystalis. Of course, I also write down any passwords.