Todo lists are great! You write down everything you need to do, split it into sub sections / sub-tasks, make it look pretty, and gain a massive sense of achievement.
Look at how productive I've been! I'm so organised!
Except all that you have really achieved is putting some stuff in a list.
But You Should Really Use Them
Having said all that, I'm still a big fan of having an up to date todo list:
A Starting Point for the day
Assuming your todo list is up to date, it acts as a great reminder of 'where was I?'. This makes it much faster to get back into the flow of things.
Categorise Priorities
The modern workplace is a constant battle against interruptions: email, instant messaging, desk drive-bys; they are all source of more work to do, so it's important to categorise what's important, rather than just jumping to the most recent request.
Keeping a categorised list (I use 'now', 'next' and 'future') means new requests can be slotted in as appropriate, thus maintaining some semblance of flow.
Know what's next
I find a key part of remaining productive is lowering the barrier to getting started on something. Having the decision made by a well defined list of 'what's next' keeps thinking to a minimum.
Review what's been achieved
Motivation ebs and flows. A great motivator is being able to review just how much has been achieved (assuming that is you've managed to get something done).
Taking a moment to review both the breadth of achievement, as well as key milestones is a great way to remind yourself that you're on the right track.
Just Do It
So yes, Todo lists can be evil as a source of false sense of achievement, but as an organisational tool I find them to be one of the easiest ways to improve my own productivity.
You don't need any fancy tools to get started, just open notepad++ and start writing stuff down!