Pen and paper are my starting points, but then I transfer my drafts to computer, particularly if it is poetry. When using a computer to generate a first draft, the mind, I have found, is more tempted to self-edit and withhold the raw emotions of a rough draft.
The personal act of setting pen to paper forms a type of intimacy with the mind. Computers reek of business and efficiency, while pen and paper give you the creative space to "breathe," so to speak. But that's just one guy's opinion. Kwoo1213 is correct in asserting that each writer has his or her own way of doing things; do what works for you.