I use a few Word* documents. One for setting/characters, another for plot, another for a conlang. These have grown very organically over the course of several months and I have jumped around a lot, from the first notions I had to some of the most developed in the very next sentence. They would be a complete mess to anyone else and your success depends on your tolerance for organized chaos.

I also recently started using DokuWiki on a Stick, which is for personal, private wikis, based on DonyorM's suggestion in a related question. It works pretty well, but I'm disappointed with the lack of page templates (so that all pages for people would start out with the same sections for Early Life, Career, Death, Influence, etc.), and customization is pointlessly difficult. Plus some things just don't work well in a wiki format.

^{*Technically OpenOffice, but that's not the point. A .txt would work just as well.}

I use a few Word* documents. One for setting/characters, another for plot, another for a conlang. These have grown very organically over the course of several months and I have jumped around a lot, from the first notions I had to some of the most developed in the very next sentence. They would be a complete mess to anyone else and your success depends on your tolerance for organized chaos.

I also recently started using DokuWiki on a Stick, which is for personal, private wikis, based on DonyorM's suggestion in a related question. It works pretty well, but I'm disappointed with the lack of page templates (so that all pages for people would start out with the same sections for Early Life, Career, Death, Influence, etc.), and customization is pointlessly difficult. Plus some things just don't work well in a wiki format.

^{*Technically OpenOffice, but that's not the point. A .txt would work just as well.}