It used to happen often to me until I just got tired of missing opportunities. Now when I am reading, I keep a piece of paper tucked inside the book or magazine and have a pen handy as well. That way, when I read something useful, I immediately make of note of it.
Even if the book or magazine is mine, I am not inclined to underline or write in the margins. I have too much respect for the printed document to mark it up. Newspapers are a bit different, however. Not because the news is any less valuable, just that I know it will be looking up from the inside of the recycling bin sooner rather than later. For those items, I immediately rip them out of the section of the paper (sometimes before other people have read it but hey, you snooze, you lose.)
The benefit of dealing with an interesting bit of information by writing it down is that it is one less thing that I have to try and remember. We are inundated with so much new information every day that our brains simply cannot process everything. By writing things down, I can ignore the rest that is irrelevant to me. It also provides a quick synopsis once I have finished the book or article. By going back over my notes the next day or week, I find that I have distilled the information provided and am better able to see what has the most validity.
It doesn't hurt that my piece of paper (big enough to make notes about the whole book) acts as a handy dandy bookmark too. Double duty - now that is something to make a note of.