I like pens, but I use lots of pens, as I tend to make notes in more than just one color.

For me, it depends more on just what it is that I'm trying to review than anything else. I try to keep to the whole paperless office thing, but I find that printouts are useful when trying to trace the logic flow through large programs, especially those that I didn't write myself.

I tend to use at least three colors -- typically, I'll go through once, and try to reduce out that stuff that's not important (scratch it out in black, as I find it's less obtrusive), and make marks in the margin using blue to track where important sections are, and red wherever I think there might be problems.

There's not really any firm rules on the colors, though... if I have a highlighter, or a green pen, I might use some other marks of interest. Sometimes, I'll just use question marks to mark sections that I'm unsure of, and arrows to mark other stuff I want to come back to review again.

I do agree that sometimes it's easier to look at paper copies, rather than staring at a computer screen... especially when you get to that point where your mind is swimming, and the letters seem like they're trying to crawl about the screen.

I don't tend to go outside, as I also make heavy use a white board to keep track of entering/exiting objects, subroutines, or whatever. (and I don't chew tobacco... I much prefer large doses of sugar and caffeine)