Paper prototyping is a strong tool that could be used to create high-quality user experience. Using paper prototypes to conduct initial usability test aids in fixing problems at an early stage without wasting time, money, and energy in coding, design, and implementation. It is one of the fastest and the cheapest technique one can use in the design process. You don’t need an elaborate set of tools to do this. Just paper and pencil. (Yes, that’s true!)
Jakob Nielsen talks more about paper prototyping in his alertbox: http://www.nngroup.com/articles/paper-prototyping/
Some paper prototypes I have worked on are below. These prototypes have not only helped me in tapping problems at the right time, but have also helped me in saving immense effort in coding and designing.