Unless I'm reading a particularly nice edition, I almost always underline and make marginal notes with pencil. I've actually come to enjoy seeing other readers' marginalia in library and second-hand books. Sometimes just a question mark in the margins to let me know that I'm not the only one who doesn't understand what's going on can make the reading experience more enjoyable. I frequently use the highlighting feature of my Kindle, as well, and I like being able to see all of the sections I've underlined in a list. I turn off the 'see what other people have underlined' feature some time ago, but I've been thinking about turning it back on recently.
Highlighting in kindle I feel much better about. It allows for me to quickly come back to things without leaving a permanent mark. However, I really love finding old inscriptions in books. Like there's something about an old message shared in a book between two people I'll never meet that I find haunting in a interesting way.