Not usually but I did when reading The Locked Tomb books; the never-ending density of information with the potential to be relevant later/earlier/right now but you just don't know it yet, was far too much to keep track of otherwise.
They're incredible books but it's one hell of a mental work out reading them whilst keeping tabs on what is actually going on, and that only just starts to happen properly on the second read-through.
My notes were scribbles in a notebook with page and paragraph numbers next to a quote of the interesting or enlightening phrase, and if a theory was forming I'd add a few words outlining it and underline key ones. That way I could skim over my notes and pick out which bit related to what and where in the book it was.