It's difficult to control where artists (haha, I'm referring to myself as an "artist." Laugh all you want.) find inspiration. Sometimes inspiration occurs in the most inappropriate places, like during sex. I'm not admitting to this happening, I'm just saying it would be inappropriate to go searching for a pen. A few places I actually will admit to being inspired:
1) In the shower. I don't usually keep pens here. There is also the obvious problem of your thoughts immediately being soaked and the difficulty of writing on wet paper in the first place. It is also not a good idea to bring a laptop into the shower.
2) A public restroom. Maybe I shouldn't admit to this, but I have stood at bathroom sinks writing down something that suddenly struck me. People washing their hands next to you may find this behavior slightly creepy.
3) A funeral. It's generally frowned upon to write in fits of inspired glee beside someone's casket.
4) When being attacked by a large bear. Publishing aspirations aside, it is not in your best interest to stop and write down how being attacked by a bear makes you feel.
5) During sex.