Pen and paper should be used as a tool to help in the thinking process, but it is not a replacement for real computer mockups.

Sketching doesn't give you a realistic sense of space and feel for web design. Very often you can sketch something that looks good on paper, but once you put it on the screen it just doesn't translate well to a pixel medium.

Sketching is great if you are working with a physical medium like brochures or posters though. Then it doesn't suffer from the same translation cost.