Lately I've been preferring paper. There's just something about buying a pretty notebook and then sitting down and writing a story in it.
Plus, like Vonny said, I like being able to re-edit when I actually type it up on the computer. I also think that writing on paper, for me at least, since I type much faster than I write by hand, gives me time to actually think about what I'm putting down. It's not much for getting word counts for me, but when it comes time for content, I prefer paper.