Definately loose-leaf paper...
1. As already mentioned, if you miss a lecture you can simply copy the notes later and put them in the right order.
2. If you want to lend notes to a friend you can give them to required pages rather than your whole book.
3. No need to remember which books to bring on which days... just keep a respectable amount of paper in your bag.
4. If your having one of those 'messy days' you can scribble notes during the lecture and rewrite them later when your in a better frame of mind.
It's not important to write down EVERYTHING the lecturer says but its really handy to write down any references and examples they give you. If you don't understand any part of the lecture, mark it and either ask the lecturer about it or do some research yourself... don't leave it until exams to work it out! Also, if you are able to download your lecture notes beforehand its really handy to skim read them so all you have to do is listen to the lecturer and fill in the gaps