I’m a big fan of paper prototyping – both for design and testing/research purposes. Here’s a great overview of the what/how/why/whens of paper prototyping.
oooh, hand drawing prototypes in Visio… why didn’t I think of that! Wondering why you might want to do this? Well, it would be quicker, for a start, if you’re just throwing together some concepts. Also – sometimes the lower the fidelity the better!