For years, I've been saving copies of any electronic documents I've used in my research. Using Endnote and being retentive about how I named each file, I was able to be much more productive that when I just dealt with paper.
The advent of Copernic, GoogleDesktop and other file indexing programs blew it WIDE open - I now have full-text access to over 4,000 articles* instantaneously.
I cannot begin to explain how useful these technologies have been to me in the process of writing my dissertation. Changed. My. Life.
Apparently, I'm not alone. Neil Beagrie has written a brief essay on the emergence of personal digital libraries, and links to many, many supporting technologies.
* Many docs saved in picture format (e.g., JSTOR) can be converted to full-text within Adobe Acrobat. Just select "Paper Capture" under the Tools menu.